Momentum · month-end rule · Metals & mining
12-1 Momentum on Aya Gold & Silver
What the play says
Latest reading: 12-1 return 140.1%
AYA 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AYA over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.2% | +20.3% | −0.1% | +31.5% |
| Total return | +22% | +2,277% | −1% | +290% |
| Worst drawdown | −87.3% | −81.7% | −63.3% | −54.9% |
| Volatility | 54.6% | 80.7% | 53.7% | 68.0% |
| Sharpe ratio | 0.27 | 0.61 | 0.20 | 0.69 |
| Time invested | 54% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 9 of 32 closed calls (28%). In calls averaged +9.3%; out calls saw AYA move +26.1% on average.
| Called | Call | Price | Until | AYA moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | IN | C$19.04 | now | +89.8% | open |
| Mar 31, 2025 | OUT | C$11.12 | Nov 28, 2025 | +71.2% | ✕ wrong |
| Apr 30, 2024 | IN | C$13.24 | Mar 31, 2025 | −16.0% | ✕ wrong |
| Mar 28, 2024 | OUT | C$11.66 | Apr 30, 2024 | +13.6% | ✕ wrong |
| Dec 29, 2023 | IN | C$9.71 | Mar 28, 2024 | +20.1% | ✓ right |
| Oct 31, 2023 | OUT | C$7.51 | Dec 29, 2023 | +29.3% | ✕ wrong |
| Apr 28, 2023 | IN | C$10.78 | Oct 31, 2023 | −30.3% | ✕ wrong |
| Feb 28, 2023 | OUT | C$8.00 | Apr 28, 2023 | +34.7% | ✕ wrong |
| Jan 31, 2023 | IN | C$8.09 | Feb 28, 2023 | −1.1% | ✕ wrong |
| Jun 30, 2022 | OUT | C$6.56 | Jan 31, 2023 | +23.3% | ✕ wrong |
| Aug 31, 2020 | IN | C$2.50 | Jun 30, 2022 | +162.4% | ✓ right |
| Jul 31, 2020 | OUT | C$2.16 | Aug 31, 2020 | +15.7% | ✕ 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 33 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.