Momentum · month-end rule · Metals & mining
12-1 Momentum on Aris Mining
What the play says
Latest reading: 12-1 return 103.2%
ARIS 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ARIS over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.4% | −13.3% | +32.2% | +36.7% |
| Total return | +730% | −88% | +302% | +375% |
| Worst drawdown | −63.1% | −99.5% | −42.0% | −54.4% |
| Volatility | 37.8% | 72.2% | 42.2% | 51.1% |
| Sharpe ratio | 0.52 | 0.14 | 0.78 | 0.79 |
| Time invested | 47% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 13 of 23 closed calls (57%). In calls averaged +15.9%; out calls saw ARIS move −15.0% on average.
| Called | Call | Price | Until | ARIS moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2024 | IN | C$5.58 | now | +313.4% | open |
| Mar 28, 2024 | OUT | C$4.86 | Apr 30, 2024 | +14.8% | ✕ wrong |
| Feb 29, 2024 | IN | C$3.80 | Mar 28, 2024 | +27.9% | ✓ right |
| Jan 31, 2024 | OUT | C$4.16 | Feb 29, 2024 | −8.7% | ✓ right |
| Dec 29, 2023 | IN | C$4.37 | Jan 31, 2024 | −4.8% | ✕ wrong |
| Nov 30, 2023 | OUT | C$4.33 | Dec 29, 2023 | +0.9% | ✕ wrong |
| Oct 31, 2023 | IN | C$3.45 | Nov 30, 2023 | +25.5% | ✓ right |
| Sep 29, 2023 | OUT | C$3.09 | Oct 31, 2023 | +11.7% | ✕ wrong |
| Aug 31, 2023 | IN | C$3.14 | Sep 29, 2023 | −1.6% | ✕ wrong |
| Jun 30, 2022 | OUT | C$3.48 | Aug 31, 2023 | −9.8% | ✓ right |
| Mar 31, 2022 | IN | C$5.73 | Jun 30, 2022 | −39.3% | ✕ wrong |
| Apr 30, 2021 | OUT | C$4.88 | Mar 31, 2022 | +17.3% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 12 of 24 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.