Momentum · month-end rule · Metals & mining
12-1 Momentum on Alamos Gold
What the play says
Latest reading: 12-1 return 5.0%
AGI 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 AGI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.1% | +13.1% | +41.9% | +36.9% |
| Total return | +2,905% | +1,343% | +471% | +377% |
| Worst drawdown | −65.4% | −82.8% | −48.4% | −48.4% |
| Volatility | 38.9% | 53.4% | 37.3% | 41.1% |
| Sharpe ratio | 0.55 | 0.46 | 1.03 | 0.88 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 18 of 28 closed calls (64%). In calls averaged +36.8%; out calls saw AGI move −2.3% on average.
| Called | Call | Price | Until | AGI moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$46.07 | now | −1.5% | open |
| Aug 31, 2026 | OUT | C$50.73 | Sep 30, 2026 | −9.2% | ✓ right |
| Apr 30, 2024 | IN | C$20.04 | Aug 31, 2026 | +153.2% | ✓ right |
| Mar 28, 2024 | OUT | C$19.76 | Apr 30, 2024 | +1.4% | ✕ wrong |
| Aug 31, 2022 | IN | C$9.22 | Mar 28, 2024 | +114.3% | ✓ right |
| Jul 29, 2022 | OUT | C$9.85 | Aug 31, 2022 | −6.4% | ✓ right |
| Jun 30, 2022 | IN | C$8.79 | Jul 29, 2022 | +12.1% | ✓ right |
| May 31, 2022 | OUT | C$9.16 | Jun 30, 2022 | −4.0% | ✓ right |
| Apr 29, 2022 | IN | C$9.68 | May 31, 2022 | −5.4% | ✕ wrong |
| Apr 30, 2021 | OUT | C$9.44 | Apr 29, 2022 | +2.6% | ✕ wrong |
| Jul 31, 2019 | IN | C$8.17 | Apr 30, 2021 | +15.6% | ✓ right |
| Jun 30, 2017 | OUT | C$8.60 | Jul 31, 2019 | −5.0% | ✓ 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 29 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.