Momentum · month-end rule · Metals & mining
12-1 Momentum on Centerra Gold
What the play says
Latest reading: 12-1 return 115.6%
CG 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 CG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.3% | +9.3% | +15.6% | +30.1% |
| Total return | +564% | +563% | +106% | +270% |
| Worst drawdown | −73.9% | −94.0% | −53.0% | −60.1% |
| Volatility | 40.5% | 61.0% | 35.6% | 45.0% |
| Sharpe ratio | 0.38 | 0.42 | 0.48 | 0.73 |
| Time invested | 62% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 15 of 38 closed calls (39%). In calls averaged +13.6%; out calls saw CG move +5.1% on average.
| Called | Call | Price | Until | CG moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$8.91 | now | +248.5% | open |
| Jan 31, 2024 | OUT | C$6.63 | May 31, 2024 | +34.3% | ✕ wrong |
| Jul 31, 2023 | IN | C$7.77 | Jan 31, 2024 | −14.7% | ✕ wrong |
| Jul 29, 2022 | OUT | C$7.03 | Jul 31, 2023 | +10.5% | ✕ wrong |
| Mar 31, 2022 | IN | C$10.77 | Jul 29, 2022 | −34.7% | ✕ wrong |
| May 31, 2021 | OUT | C$8.40 | Mar 31, 2022 | +28.1% | ✕ wrong |
| May 31, 2019 | IN | C$6.49 | May 31, 2021 | +29.4% | ✓ right |
| Aug 31, 2018 | OUT | C$4.68 | May 31, 2019 | +38.7% | ✕ wrong |
| Jul 31, 2018 | IN | C$4.96 | Aug 31, 2018 | −5.6% | ✕ wrong |
| Jun 29, 2018 | OUT | C$6.13 | Jul 31, 2018 | −19.2% | ✓ right |
| Apr 30, 2018 | IN | C$6.58 | Jun 29, 2018 | −6.8% | ✕ wrong |
| Feb 28, 2018 | OUT | C$5.64 | Apr 30, 2018 | +16.7% | ✕ 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 39 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.