Momentum · month-end rule · Energy & power
12-1 Momentum on Suncor Energy
What the play says
Latest reading: 12-1 return 63.1%
SU 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 SU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.6% | +10.7% | +28.0% | +35.4% |
| Total return | +226% | +803% | +241% | +352% |
| Worst drawdown | −78.5% | −73.9% | −30.6% | −30.6% |
| Volatility | 26.6% | 36.9% | 29.4% | 30.5% |
| Sharpe ratio | 0.27 | 0.41 | 0.86 | 1.02 |
| Time invested | 68% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 11 of 34 closed calls (32%). In calls averaged +7.9%; out calls saw SU move +7.2% on average.
| Called | Call | Price | Until | SU moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$54.50 | now | +96.0% | open |
| May 30, 2025 | OUT | C$46.32 | Aug 29, 2025 | +17.7% | ✕ wrong |
| Feb 29, 2024 | IN | C$41.96 | May 30, 2025 | +10.4% | ✓ right |
| Jan 31, 2024 | OUT | C$40.06 | Feb 29, 2024 | +4.7% | ✕ wrong |
| Aug 31, 2023 | IN | C$40.68 | Jan 31, 2024 | −1.5% | ✕ wrong |
| Apr 28, 2023 | OUT | C$36.78 | Aug 31, 2023 | +10.6% | ✕ wrong |
| Mar 31, 2021 | IN | C$20.94 | Apr 28, 2023 | +75.6% | ✓ right |
| Feb 28, 2020 | OUT | C$28.06 | Mar 31, 2021 | −25.4% | ✓ right |
| Dec 31, 2019 | IN | C$32.29 | Feb 28, 2020 | −13.1% | ✕ wrong |
| Apr 30, 2019 | OUT | C$32.49 | Dec 31, 2019 | −0.6% | ✓ right |
| Feb 28, 2019 | IN | C$33.05 | Apr 30, 2019 | −1.7% | ✕ wrong |
| Dec 31, 2018 | OUT | C$27.78 | Feb 28, 2019 | +19.0% | ✕ 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 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.