Momentum · month-end rule · Energy & power
12-1 Momentum on Topaz Energy
What the play says
Latest reading: 12-1 return 28.8%
TPZ 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TPZ over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.0% | +16.3% | +16.0% | +16.3% |
| Total return | +107% | +111% | +107% | +111% |
| Worst drawdown | −24.8% | −24.8% | −24.8% | −24.8% |
| Volatility | 22.9% | 24.1% | 22.9% | 24.1% |
| Sharpe ratio | 0.59 | 0.59 | 0.59 | 0.59 |
| Time invested | 85% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 5 of 8 closed calls (62%). In calls averaged +18.1%; out calls saw TPZ move +1.4% on average.
| Called | Call | Price | Until | TPZ moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$26.64 | now | +11.2% | open |
| Nov 28, 2025 | OUT | C$27.03 | Dec 31, 2025 | −1.4% | ✓ right |
| Feb 29, 2024 | IN | C$17.43 | Nov 28, 2025 | +55.1% | ✓ right |
| Oct 31, 2023 | OUT | C$18.13 | Feb 29, 2024 | −3.9% | ✓ right |
| Aug 31, 2023 | IN | C$18.31 | Oct 31, 2023 | −1.0% | ✕ wrong |
| Jul 31, 2023 | OUT | C$18.08 | Aug 31, 2023 | +1.3% | ✕ wrong |
| Jun 30, 2023 | IN | C$17.39 | Jul 31, 2023 | +4.0% | ✓ right |
| Mar 31, 2023 | OUT | C$15.88 | Jun 30, 2023 | +9.5% | ✕ wrong |
| Oct 29, 2021 | IN | C$13.90 | Mar 31, 2023 | +14.3% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 9 of 9 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.