Momentum · month-end rule · Energy & power
12-1 Momentum on Peyto Exploration & Development
What the play says
Latest reading: 12-1 return 46.1%
PEY with the play, last two years
Shading shows the play's call from the close that triggered it.
Return from 12 months to 1 month ago
Dashed line at 0.
Growth of C$10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PEY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.1% | +6.6% | +27.1% | +30.8% |
| Total return | +1,614% | +298% | +229% | +280% |
| Worst drawdown | −55.6% | −96.6% | −40.8% | −40.8% |
| Volatility | 26.9% | 38.8% | 33.6% | 34.9% |
| Sharpe ratio | 0.56 | 0.31 | 0.77 | 0.83 |
| Time invested | 60% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 7 of 18 closed calls (39%). In calls averaged +41.6%; out calls saw PEY move −0.4% on average.
| Called | Call | Price | Until | PEY moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2024 | IN | C$10.71 | now | +131.4% | open |
| Dec 29, 2023 | OUT | C$9.86 | Jan 31, 2024 | +8.6% | ✕ wrong |
| Aug 31, 2023 | IN | C$9.94 | Dec 29, 2023 | −0.8% | ✕ wrong |
| Mar 31, 2023 | OUT | C$9.15 | Aug 31, 2023 | +8.7% | ✕ wrong |
| Jan 29, 2021 | IN | C$2.44 | Mar 31, 2023 | +275.1% | ✓ right |
| Dec 31, 2020 | OUT | C$2.02 | Jan 29, 2021 | +20.9% | ✕ wrong |
| Nov 30, 2020 | IN | C$1.96 | Dec 31, 2020 | +2.8% | ✓ right |
| Mar 31, 2017 | OUT | C$15.18 | Nov 30, 2020 | −87.1% | ✓ right |
| Jun 30, 2016 | IN | C$18.67 | Mar 31, 2017 | −18.7% | ✕ wrong |
| Feb 27, 2015 | OUT | C$17.75 | Jun 30, 2016 | +5.2% | ✕ wrong |
| Aug 31, 2012 | IN | C$9.59 | Feb 27, 2015 | +85.2% | ✓ right |
| Mar 30, 2012 | OUT | C$7.56 | Aug 31, 2012 | +26.8% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 19 calls shown.
How the play works
- In at month-end when the return from 12 months ago to 1 month ago is above zero.
- Out when it is zero or below.
Jegadeesh and Titman ranked thousands of stocks and bought the winners. Testing one stock against zero is time-series momentum, a related idea.
The skip-a-month form came later; their 1993 paper skipped at most a week.
The case against
Valeriy Zakamulin tested moving-average timing on up to 155 years of U.S. stock data and found no statistically significant edge in the second half of that record. The rules earned their keep in a few severe bear markets and lagged buy and hold for long stretches in between.