Momentum · month-end rule · Energy & power
12-1 Momentum on Cenovus Energy
What the play says
Latest reading: 12-1 return 92.2%
CVE 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 2010
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CVE over exactly the same dates, after costs.
| Play, since 2010 | Hold, since 2010 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.5% | +5.3% | +16.3% | +29.6% |
| Total return | +73% | +125% | +112% | +264% |
| Worst drawdown | −66.1% | −92.8% | −54.0% | −47.2% |
| Volatility | 26.0% | 42.5% | 32.8% | 37.6% |
| Sharpe ratio | 0.20 | 0.31 | 0.51 | 0.78 |
| Time invested | 52% | 100% | ||
| Switches per year | 2.2 | 0 |
Every call, graded
Right on 12 of 34 closed calls (35%). In calls averaged +2.9%; out calls saw CVE move +2.9% on average.
| Called | Call | Price | Until | CVE moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$23.05 | now | +101.6% | open |
| Feb 28, 2025 | OUT | C$18.98 | Sep 30, 2025 | +21.5% | ✕ wrong |
| Dec 31, 2024 | IN | C$20.66 | Feb 28, 2025 | −8.2% | ✕ wrong |
| Sep 30, 2024 | OUT | C$21.27 | Dec 31, 2024 | −2.9% | ✓ right |
| Mar 28, 2024 | IN | C$24.95 | Sep 30, 2024 | −14.8% | ✕ wrong |
| Dec 29, 2023 | OUT | C$20.23 | Mar 28, 2024 | +23.3% | ✕ wrong |
| Aug 31, 2023 | IN | C$24.40 | Dec 29, 2023 | −17.1% | ✕ wrong |
| May 31, 2023 | OUT | C$19.53 | Aug 31, 2023 | +25.0% | ✕ wrong |
| Mar 31, 2021 | IN | C$8.27 | May 31, 2023 | +136.2% | ✓ right |
| Feb 28, 2020 | OUT | C$8.50 | Mar 31, 2021 | −2.7% | ✓ right |
| Oct 31, 2019 | IN | C$9.61 | Feb 28, 2020 | −11.6% | ✕ wrong |
| Sep 30, 2019 | OUT | C$10.65 | Oct 31, 2019 | −9.7% | ✓ 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 35 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.