Momentum · month-end rule · Energy & power
12-1 Momentum on South Bow
What the play says
Latest reading: 12-1 return 39.5%
SOBO 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 2025
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SOBO over exactly the same dates, after costs.
| Play, since 2025 | Hold, since 2025 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +30.7% | +30.7% | +30.7% | +30.7% |
| Total return | +32% | +32% | +32% | +32% |
| Worst drawdown | −12.2% | −12.2% | −12.2% | −12.2% |
| Volatility | 21.6% | 21.6% | 21.6% | 21.6% |
| Sharpe ratio | 1.18 | 1.18 | 1.18 | 1.18 |
| Time invested | 100% | 100% | ||
| Switches per year | 0.0 | 0 |
Every call, graded
No closed calls yet.
| Called | Call | Price | Until | SOBO moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$37.04 | now | +30.3% | open |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 1 of 1 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.