Momentum · month-end rule · Energy & power
12-1 Momentum on Canadian Natural Resources
What the play says
Latest reading: 12-1 return 61.3%
CNQ 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 CNQ over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.2% | +14.9% | +27.6% | +31.3% |
| Total return | +346% | +1,896% | +236% | +288% |
| Worst drawdown | −83.2% | −76.2% | −29.1% | −33.1% |
| Volatility | 30.7% | 39.5% | 28.1% | 30.5% |
| Sharpe ratio | 0.32 | 0.51 | 0.87 | 0.92 |
| Time invested | 65% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 7 of 22 closed calls (32%). In calls averaged +19.6%; out calls saw CNQ move +18.4% on average.
| Called | Call | Price | Until | CNQ moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | IN | C$45.18 | now | +64.2% | open |
| Oct 31, 2025 | OUT | C$43.04 | Dec 31, 2025 | +5.0% | ✕ wrong |
| Sep 30, 2025 | IN | C$42.69 | Oct 31, 2025 | +0.8% | ✓ right |
| Feb 28, 2025 | OUT | C$37.66 | Sep 30, 2025 | +13.4% | ✕ wrong |
| Mar 31, 2021 | IN | C$14.53 | Feb 28, 2025 | +159.2% | ✓ right |
| Mar 31, 2020 | OUT | C$6.79 | Mar 31, 2021 | +114.1% | ✕ wrong |
| Oct 31, 2019 | IN | C$11.15 | Mar 31, 2020 | −39.1% | ✕ wrong |
| Oct 31, 2018 | OUT | C$11.63 | Oct 31, 2019 | −4.2% | ✓ right |
| May 31, 2018 | IN | C$14.23 | Oct 31, 2018 | −18.2% | ✕ wrong |
| Mar 29, 2018 | OUT | C$12.84 | May 31, 2018 | +10.8% | ✕ wrong |
| Oct 31, 2017 | IN | C$14.06 | Mar 29, 2018 | −8.7% | ✕ wrong |
| Jun 30, 2017 | OUT | C$11.61 | Oct 31, 2017 | +21.1% | ✕ 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 23 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.