Momentum · month-end rule · Energy & power
12-1 Momentum on Whitecap Resources
What the play says
Latest reading: 12-1 return 77.5%
WCP 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 WCP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.2% | +12.0% | +15.1% | +28.4% |
| Total return | +98% | +1,061% | +101% | +247% |
| Worst drawdown | −95.2% | −94.4% | −46.8% | −35.4% |
| Volatility | 41.4% | 77.5% | 33.1% | 34.7% |
| Sharpe ratio | 0.24 | 0.49 | 0.48 | 0.79 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 11 of 32 closed calls (34%). In calls averaged +10.0%; out calls saw WCP move +27.8% on average.
| Called | Call | Price | Until | WCP moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$9.76 | now | +97.8% | open |
| Apr 30, 2025 | OUT | C$7.20 | Aug 29, 2025 | +35.6% | ✕ wrong |
| Oct 31, 2024 | IN | C$9.21 | Apr 30, 2025 | −21.8% | ✕ wrong |
| Sep 30, 2024 | OUT | C$8.90 | Oct 31, 2024 | +3.5% | ✕ wrong |
| Apr 30, 2024 | IN | C$8.93 | Sep 30, 2024 | −0.3% | ✕ wrong |
| Dec 29, 2023 | OUT | C$7.40 | Apr 30, 2024 | +20.7% | ✕ wrong |
| Aug 31, 2023 | IN | C$9.00 | Dec 29, 2023 | −17.9% | ✕ wrong |
| Jul 31, 2023 | OUT | C$8.54 | Aug 31, 2023 | +5.4% | ✕ wrong |
| Jun 30, 2023 | IN | C$7.49 | Jul 31, 2023 | +14.1% | ✓ right |
| May 31, 2023 | OUT | C$7.46 | Jun 30, 2023 | +0.3% | ✕ wrong |
| Jan 29, 2021 | IN | C$3.35 | May 31, 2023 | +122.6% | ✓ right |
| Mar 31, 2020 | OUT | C$0.810 | Jan 29, 2021 | +313.9% | ✕ 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 33 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.