Momentum · month-end rule · Metals & mining
12-1 Momentum on Agnico Eagle Mines
What the play says
Latest reading: 12-1 return 20.8%
AEM 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 AEM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.2% | +15.3% | +28.7% | +33.3% |
| Total return | +350% | +2,084% | +250% | +317% |
| Worst drawdown | −76.3% | −70.3% | −44.3% | −44.3% |
| Volatility | 35.3% | 44.0% | 30.3% | 36.5% |
| Sharpe ratio | 0.32 | 0.50 | 0.86 | 0.87 |
| Time invested | 62% | 100% | ||
| Switches per year | 2.6 | 0 |
Every call, graded
Right on 28 of 57 closed calls (49%). In calls averaged +3.4%; out calls saw AEM move +7.0% on average.
| Called | Call | Price | Until | AEM moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2024 | IN | C$84.21 | now | +213.5% | open |
| Mar 28, 2024 | OUT | C$78.02 | Apr 30, 2024 | +7.9% | ✕ wrong |
| Feb 29, 2024 | IN | C$62.87 | Mar 28, 2024 | +24.1% | ✓ right |
| Jan 31, 2024 | OUT | C$63.30 | Feb 29, 2024 | −0.7% | ✓ right |
| Dec 29, 2023 | IN | C$69.59 | Jan 31, 2024 | −9.0% | ✕ wrong |
| Nov 30, 2023 | OUT | C$69.78 | Dec 29, 2023 | −0.3% | ✓ right |
| May 31, 2023 | IN | C$65.14 | Nov 30, 2023 | +7.1% | ✓ right |
| Mar 31, 2023 | OUT | C$64.45 | May 31, 2023 | +1.1% | ✕ wrong |
| Dec 30, 2022 | IN | C$65.25 | Mar 31, 2023 | −1.2% | ✕ wrong |
| May 31, 2022 | OUT | C$61.09 | Dec 30, 2022 | +6.8% | ✕ wrong |
| Apr 29, 2022 | IN | C$67.64 | May 31, 2022 | −9.7% | ✕ wrong |
| Jul 30, 2021 | OUT | C$71.51 | Apr 29, 2022 | −5.4% | ✓ 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 58 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.