Momentum · month-end rule · Metals & mining
12-1 Momentum on Barrick Gold
What the play says
Latest reading: 12-1 return 38.8%
ABX 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 ABX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.4% | +5.1% | +9.9% | +21.3% |
| Total return | +280% | +193% | +60% | +161% |
| Worst drawdown | −61.9% | −84.4% | −46.8% | −43.8% |
| Volatility | 28.5% | 41.0% | 30.7% | 35.8% |
| Sharpe ratio | 0.30 | 0.28 | 0.34 | 0.61 |
| Time invested | 55% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 22 of 40 closed calls (55%). In calls averaged +2.4%; out calls saw ABX move +1.7% on average.
| Called | Call | Price | Until | ABX moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$22.16 | now | +149.8% | open |
| Jan 31, 2024 | OUT | C$19.76 | May 31, 2024 | +12.1% | ✕ wrong |
| Nov 30, 2023 | IN | C$22.44 | Jan 31, 2024 | −11.9% | ✕ wrong |
| Oct 31, 2023 | OUT | C$20.73 | Nov 30, 2023 | +8.3% | ✕ wrong |
| May 31, 2023 | IN | C$21.33 | Oct 31, 2023 | −2.8% | ✕ wrong |
| Jul 29, 2022 | OUT | C$18.12 | May 31, 2023 | +17.7% | ✕ wrong |
| Feb 28, 2022 | IN | C$25.49 | Jul 29, 2022 | −28.9% | ✕ wrong |
| Mar 31, 2021 | OUT | C$21.36 | Feb 28, 2022 | +19.3% | ✕ wrong |
| Jul 31, 2019 | IN | C$17.97 | Mar 31, 2021 | +18.9% | ✓ right |
| Jun 28, 2019 | OUT | C$17.32 | Jul 31, 2019 | +3.8% | ✕ wrong |
| Jan 31, 2019 | IN | C$14.69 | Jun 28, 2019 | +17.9% | ✓ right |
| Jun 30, 2017 | OUT | C$16.90 | Jan 31, 2019 | −13.1% | ✓ 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 41 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.