Momentum · month-end rule · Energy & power
12-1 Momentum on Pembina Pipeline
What the play says
Latest reading: 12-1 return 24.4%
PPL 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 PPL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.7% | +14.6% | +16.4% | +16.8% |
| Total return | +1,226% | +1,805% | +113% | +116% |
| Worst drawdown | −68.8% | −68.8% | −20.1% | −20.2% |
| Volatility | 24.9% | 28.1% | 17.4% | 18.8% |
| Sharpe ratio | 0.53 | 0.56 | 0.74 | 0.72 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 14 of 24 closed calls (58%). In calls averaged +24.5%; out calls saw PPL move +3.8% on average.
| Called | Call | Price | Until | PPL moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$50.55 | now | +36.8% | open |
| Nov 28, 2025 | OUT | C$51.68 | Dec 31, 2025 | −2.2% | ✓ right |
| Oct 31, 2025 | IN | C$50.62 | Nov 28, 2025 | +2.1% | ✓ right |
| Aug 29, 2025 | OUT | C$48.84 | Oct 31, 2025 | +3.6% | ✕ wrong |
| Dec 29, 2023 | IN | C$39.71 | Aug 29, 2025 | +23.0% | ✓ right |
| Oct 31, 2023 | OUT | C$36.61 | Dec 29, 2023 | +8.5% | ✕ wrong |
| Sep 29, 2023 | IN | C$35.03 | Oct 31, 2023 | +4.5% | ✓ right |
| Mar 31, 2023 | OUT | C$36.36 | Sep 29, 2023 | −3.7% | ✓ right |
| Mar 31, 2021 | IN | C$26.79 | Mar 31, 2023 | +35.8% | ✓ right |
| Apr 30, 2020 | OUT | C$21.96 | Mar 31, 2021 | +22.0% | ✕ wrong |
| Dec 31, 2018 | IN | C$25.87 | Apr 30, 2020 | −15.1% | ✕ wrong |
| Nov 30, 2018 | OUT | C$28.48 | Dec 31, 2018 | −9.1% | ✓ 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 25 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.