Momentum · month-end rule · Metals & mining
12-1 Momentum on Allied Gold
What the play says
Latest reading: 12-1 return 34.4%
AAUC 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 2024
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AAUC over exactly the same dates, after costs.
| Play, since 2024 | Hold, since 2024 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +46.0% | +68.9% | +46.0% | +68.9% |
| Total return | +115% | +188% | +115% | +188% |
| Worst drawdown | −45.1% | −45.1% | −45.1% | −45.1% |
| Volatility | 46.7% | 52.9% | 46.7% | 52.9% |
| Sharpe ratio | 0.96 | 1.18 | 0.96 | 1.18 |
| Time invested | 83% | 100% | ||
| Switches per year | 0.5 | 0 |
Every call, graded
Right on 0 of 1 closed calls (0%). In calls averaged –; out calls saw AAUC move +41.3% on average.
| Called | Call | Price | Until | AAUC moved | Result |
|---|---|---|---|---|---|
| Jan 31, 2025 | IN | C$13.65 | now | +111.6% | open |
| Sep 30, 2024 | OUT | C$9.66 | Jan 31, 2025 | +41.3% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 2 of 2 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.