Momentum · month-end rule · Metals & mining
12-1 Momentum on B2Gold
What the play says
Latest reading: 12-1 return 11.9%
BTO 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 BTO over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.7% | +16.6% | +9.7% | +11.9% |
| Total return | +595% | +1,386% | +59% | +75% |
| Worst drawdown | −67.4% | −80.0% | −38.9% | −44.6% |
| Volatility | 40.2% | 52.6% | 34.5% | 43.8% |
| Sharpe ratio | 0.44 | 0.53 | 0.33 | 0.39 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 14 of 29 closed calls (48%). In calls averaged +31.3%; out calls saw BTO move +6.9% on average.
| Called | Call | Price | Until | BTO moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$7.43 | now | −4.6% | open |
| Aug 31, 2026 | OUT | C$7.57 | Sep 30, 2026 | −1.9% | ✓ right |
| Feb 28, 2025 | IN | C$3.74 | Aug 31, 2026 | +102.5% | ✓ right |
| Jan 31, 2025 | OUT | C$3.39 | Feb 28, 2025 | +10.3% | ✕ wrong |
| Nov 29, 2024 | IN | C$3.89 | Jan 31, 2025 | −12.8% | ✕ wrong |
| Oct 31, 2024 | OUT | C$4.38 | Nov 29, 2024 | −11.3% | ✓ right |
| Aug 30, 2024 | IN | C$3.56 | Oct 31, 2024 | +23.2% | ✓ right |
| Sep 29, 2023 | OUT | C$3.51 | Aug 30, 2024 | +1.4% | ✕ wrong |
| Apr 28, 2023 | IN | C$4.68 | Sep 29, 2023 | −25.1% | ✕ wrong |
| Mar 31, 2023 | OUT | C$4.69 | Apr 28, 2023 | −0.2% | ✓ right |
| Jan 31, 2023 | IN | C$4.58 | Mar 31, 2023 | +2.5% | ✓ right |
| May 31, 2022 | OUT | C$4.22 | Jan 31, 2023 | +8.6% | ✕ 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 30 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.