Momentum · month-end rule · Energy & power
12-1 Momentum on Paramount Resources
What the play says
Latest reading: 12-1 return 45.9%
POU 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 POU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.5% | +5.3% | +21.1% | +33.6% |
| Total return | +1,173% | +207% | +159% | +323% |
| Worst drawdown | −60.3% | −98.4% | −43.3% | −43.3% |
| Volatility | 31.4% | 54.5% | 36.9% | 39.3% |
| Sharpe ratio | 0.48 | 0.34 | 0.60 | 0.84 |
| Time invested | 57% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 11 of 22 closed calls (50%). In calls averaged +33.5%; out calls saw POU move −6.6% on average.
| Called | Call | Price | Until | POU moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$20.71 | now | +61.2% | open |
| May 30, 2025 | OUT | C$18.17 | Jun 30, 2025 | +14.0% | ✕ wrong |
| Nov 29, 2024 | IN | C$15.43 | May 30, 2025 | +17.7% | ✓ right |
| Sep 30, 2024 | OUT | C$12.84 | Nov 29, 2024 | +20.2% | ✕ wrong |
| May 31, 2024 | IN | C$15.65 | Sep 30, 2024 | −18.0% | ✕ wrong |
| Apr 30, 2024 | OUT | C$14.83 | May 31, 2024 | +5.6% | ✕ wrong |
| Mar 28, 2024 | IN | C$13.01 | Apr 30, 2024 | +14.0% | ✓ right |
| Jan 31, 2024 | OUT | C$12.42 | Mar 28, 2024 | +4.7% | ✕ wrong |
| Aug 31, 2023 | IN | C$14.35 | Jan 31, 2024 | −13.4% | ✕ wrong |
| May 31, 2023 | OUT | C$12.90 | Aug 31, 2023 | +11.2% | ✕ wrong |
| Feb 26, 2021 | IN | C$4.42 | May 31, 2023 | +191.9% | ✓ right |
| Apr 30, 2018 | OUT | C$7.50 | Feb 26, 2021 | −41.1% | ✓ right |
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 23 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.