Momentum · month-end rule · Energy & power
12-1 Momentum on Parex Resources
What the play says
Latest reading: 12-1 return 64.8%
PXT 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PXT over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.0% | +15.4% | +7.9% | +10.2% |
| Total return | +95% | +601% | +46% | +62% |
| Worst drawdown | −66.2% | −61.0% | −43.0% | −58.8% |
| Volatility | 33.5% | 42.6% | 30.8% | 40.1% |
| Sharpe ratio | 0.26 | 0.51 | 0.28 | 0.35 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 9 of 19 closed calls (47%). In calls averaged +1.8%; out calls saw PXT move +17.9% on average.
| Called | Call | Price | Until | PXT moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$15.88 | now | +78.8% | open |
| Mar 28, 2024 | OUT | C$17.43 | Aug 29, 2025 | −8.9% | ✓ right |
| Apr 28, 2023 | IN | C$20.82 | Mar 28, 2024 | −16.3% | ✕ wrong |
| Dec 30, 2022 | OUT | C$15.01 | Apr 28, 2023 | +38.7% | ✕ wrong |
| Nov 30, 2022 | IN | C$14.15 | Dec 30, 2022 | +6.1% | ✓ right |
| Sep 30, 2022 | OUT | C$14.82 | Nov 30, 2022 | −4.5% | ✓ right |
| Feb 26, 2021 | IN | C$14.23 | Sep 30, 2022 | +4.1% | ✓ right |
| Mar 31, 2020 | OUT | C$8.33 | Feb 26, 2021 | +70.9% | ✕ wrong |
| Oct 31, 2019 | IN | C$12.49 | Mar 31, 2020 | −33.3% | ✕ wrong |
| Sep 30, 2019 | OUT | C$14.21 | Oct 31, 2019 | −12.1% | ✓ right |
| Aug 30, 2019 | IN | C$14.27 | Sep 30, 2019 | −0.4% | ✕ wrong |
| Apr 30, 2019 | OUT | C$15.97 | Aug 30, 2019 | −10.6% | ✓ 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 20 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.