Momentum · month-end rule · Energy & power
12-1 Momentum on Vermilion Energy
What the play says
Latest reading: 12-1 return 68.1%
VET 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 VET over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.7% | +4.4% | +12.5% | +8.5% |
| Total return | +988% | +152% | +80% | +50% |
| Worst drawdown | −55.6% | −95.3% | −55.6% | −78.2% |
| Volatility | 27.7% | 44.4% | 38.2% | 50.1% |
| Sharpe ratio | 0.47 | 0.28 | 0.40 | 0.34 |
| Time invested | 59% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 11 of 18 closed calls (61%). In calls averaged +32.4%; out calls saw VET move −9.1% on average.
| Called | Call | Price | Until | VET moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | C$14.30 | now | +24.0% | open |
| Jul 31, 2024 | OUT | C$13.58 | Feb 27, 2026 | +5.2% | ✕ wrong |
| Apr 30, 2024 | IN | C$14.39 | Jul 31, 2024 | −5.6% | ✕ wrong |
| Feb 28, 2023 | OUT | C$16.09 | Apr 30, 2024 | −10.5% | ✓ right |
| Mar 31, 2021 | IN | C$7.95 | Feb 28, 2023 | +102.4% | ✓ right |
| Nov 30, 2018 | OUT | C$24.16 | Mar 31, 2021 | −67.1% | ✓ right |
| Oct 31, 2018 | IN | C$25.33 | Nov 30, 2018 | −4.6% | ✕ wrong |
| Sep 28, 2018 | OUT | C$30.68 | Oct 31, 2018 | −17.4% | ✓ right |
| May 31, 2018 | IN | C$32.09 | Sep 28, 2018 | −4.4% | ✕ wrong |
| Jul 31, 2017 | OUT | C$27.58 | May 31, 2018 | +16.4% | ✕ wrong |
| Aug 31, 2016 | IN | C$30.33 | Jul 31, 2017 | −9.1% | ✕ wrong |
| Dec 31, 2014 | OUT | C$33.11 | Aug 31, 2016 | −8.4% | ✓ 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 19 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.