Momentum · month-end rule · Energy & power
12-1 Momentum on Superior Plus
What the play says
Latest reading: 12-1 return −6.9%
SPB 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 SPB over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.5% | +0.9% | −8.9% | −8.1% |
| Total return | −63% | +22% | −37% | −34% |
| Worst drawdown | −69.1% | −66.7% | −46.3% | −53.3% |
| Volatility | 22.8% | 30.8% | 21.3% | 31.0% |
| Sharpe ratio | −0.16 | 0.13 | −0.50 | −0.23 |
| Time invested | 58% | 100% | ||
| Switches per year | 2.1 | 0 |
Every call, graded
Right on 13 of 45 closed calls (29%). In calls averaged −3.7%; out calls saw SPB move +7.8% on average.
| Called | Call | Price | Until | SPB moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$6.97 | now | +0.4% | open |
| Jun 30, 2026 | IN | C$7.76 | Sep 30, 2026 | −10.2% | ✕ wrong |
| Apr 30, 2026 | OUT | C$7.41 | Jun 30, 2026 | +4.7% | ✕ wrong |
| Oct 31, 2025 | IN | C$7.78 | Apr 30, 2026 | −4.8% | ✕ wrong |
| Aug 29, 2025 | OUT | C$7.04 | Oct 31, 2025 | +10.5% | ✕ wrong |
| Jul 31, 2025 | IN | C$6.71 | Aug 29, 2025 | +4.9% | ✓ right |
| Jul 31, 2024 | OUT | C$7.41 | Jul 31, 2025 | −9.5% | ✓ right |
| Apr 30, 2024 | IN | C$8.49 | Jul 31, 2024 | −12.7% | ✕ wrong |
| Nov 30, 2023 | OUT | C$8.69 | Apr 30, 2024 | −2.3% | ✓ right |
| Sep 29, 2023 | IN | C$9.01 | Nov 30, 2023 | −3.5% | ✕ wrong |
| May 31, 2023 | OUT | C$8.13 | Sep 29, 2023 | +10.7% | ✕ wrong |
| Mar 31, 2023 | IN | C$9.43 | May 31, 2023 | −13.7% | ✕ wrong |
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 46 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.