Momentum · month-end rule · Energy & power
12-1 Momentum on PrairieSky Royalty
What the play says
Latest reading: 12-1 return 45.7%
PSK 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 2015
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PSK over exactly the same dates, after costs.
| Play, since 2015 | Hold, since 2015 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.6% | +4.1% | +16.5% | +22.6% |
| Total return | +182% | +57% | +114% | +176% |
| Worst drawdown | −25.4% | −79.7% | −25.4% | −25.4% |
| Volatility | 19.8% | 32.3% | 24.2% | 25.2% |
| Sharpe ratio | 0.45 | 0.22 | 0.60 | 0.78 |
| Time invested | 57% | 100% | ||
| Switches per year | 0.4 | 0 |
Every call, graded
Right on 4 of 5 closed calls (80%). In calls averaged +53.4%; out calls saw PSK move −9.9% on average.
| Called | Call | Price | Until | PSK moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | C$28.92 | now | +21.7% | open |
| May 30, 2025 | OUT | C$21.90 | Jan 30, 2026 | +32.1% | ✕ wrong |
| Mar 31, 2021 | IN | C$11.17 | May 30, 2025 | +96.1% | ✓ right |
| Apr 30, 2018 | OUT | C$20.94 | Mar 31, 2021 | −46.7% | ✓ right |
| Sep 30, 2016 | IN | C$18.92 | Apr 30, 2018 | +10.7% | ✓ right |
| May 29, 2015 | OUT | C$22.31 | Sep 30, 2016 | −15.2% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 6 of 6 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.