Momentum · month-end rule · Energy & power
12-1 Momentum on Xcel Energy
What the play says
Latest reading: 12-1 return −4.0%
XEL 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 $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding XEL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.9% | +10.7% | +6.0% | +6.4% |
| Total return | +678% | +813% | +34% | +36% |
| Worst drawdown | −29.3% | −34.4% | −24.7% | −34.4% |
| Volatility | 17.4% | 19.9% | 17.1% | 20.9% |
| Sharpe ratio | 0.53 | 0.52 | 0.21 | 0.22 |
| Time invested | 82% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 15 of 27 closed calls (56%). In calls averaged +17.4%; out calls saw XEL move +1.5% on average.
| Called | Call | Price | Until | XEL moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | $70.48 | now | +5.9% | open |
| Aug 30, 2024 | IN | $56.98 | Sep 30, 2026 | +23.7% | ✓ right |
| Mar 31, 2023 | OUT | $59.91 | Aug 30, 2024 | −4.9% | ✓ right |
| Jan 31, 2022 | IN | $59.73 | Mar 31, 2023 | +0.3% | ✓ right |
| Oct 29, 2021 | OUT | $55.00 | Jan 31, 2022 | +8.6% | ✕ wrong |
| Aug 31, 2021 | IN | $58.14 | Oct 29, 2021 | −5.4% | ✕ wrong |
| Jul 30, 2021 | OUT | $57.72 | Aug 31, 2021 | +0.7% | ✕ wrong |
| Apr 30, 2021 | IN | $59.90 | Jul 30, 2021 | −3.6% | ✕ wrong |
| Mar 31, 2021 | OUT | $55.88 | Apr 30, 2021 | +7.2% | ✕ wrong |
| Feb 26, 2021 | IN | $48.86 | Mar 31, 2021 | +14.4% | ✓ right |
| Jan 29, 2021 | OUT | $53.36 | Feb 26, 2021 | −8.4% | ✓ right |
| Dec 31, 2018 | IN | $38.97 | Jan 29, 2021 | +36.9% | ✓ 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 28 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.