Momentum · month-end rule · Metals & mining
12-1 Momentum on Avino Silver & Gold Mines
What the play says
Latest reading: 12-1 return 39.2%
ASM 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 ASM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.1% | +8.5% | +28.8% | +44.7% |
| Total return | +342% | +481% | +252% | +528% |
| Worst drawdown | −86.3% | −93.1% | −57.7% | −56.3% |
| Volatility | 52.2% | 78.3% | 56.2% | 68.4% |
| Sharpe ratio | 0.35 | 0.47 | 0.66 | 0.82 |
| Time invested | 46% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +6.9%; out calls saw ASM move +17.6% on average.
| Called | Call | Price | Until | ASM moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$1.45 | now | +380.7% | open |
| Oct 31, 2023 | OUT | C$0.610 | May 31, 2024 | +137.7% | ✕ wrong |
| Apr 28, 2023 | IN | C$1.15 | Oct 31, 2023 | −47.0% | ✕ wrong |
| Mar 31, 2023 | OUT | C$1.21 | Apr 28, 2023 | −5.0% | ✓ right |
| Feb 28, 2023 | IN | C$0.930 | Mar 31, 2023 | +30.1% | ✓ right |
| Aug 31, 2021 | OUT | C$1.30 | Feb 28, 2023 | −28.5% | ✓ right |
| Jun 30, 2020 | IN | C$1.08 | Aug 31, 2021 | +20.4% | ✓ right |
| Nov 29, 2019 | OUT | C$0.710 | Jun 30, 2020 | +52.1% | ✕ wrong |
| Sep 30, 2019 | IN | C$0.780 | Nov 29, 2019 | −9.0% | ✕ wrong |
| Jun 30, 2017 | OUT | C$2.09 | Sep 30, 2019 | −62.7% | ✓ right |
| May 31, 2016 | IN | C$1.93 | Jun 30, 2017 | +8.3% | ✓ right |
| Apr 30, 2015 | OUT | C$1.61 | May 31, 2016 | +19.9% | ✕ 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 32 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.