Momentum · month-end rule · Metals & mining
12-1 Momentum on Capstone Copper
What the play says
Latest reading: 12-1 return 36.0%
CS 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 CS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.5% | +12.3% | −7.7% | +17.8% |
| Total return | +215% | +1,134% | −33% | +126% |
| Worst drawdown | −90.8% | −94.1% | −68.8% | −69.4% |
| Volatility | 46.2% | 61.9% | 45.0% | 56.8% |
| Sharpe ratio | 0.31 | 0.47 | −0.04 | 0.50 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 30 closed calls (47%). In calls averaged +30.3%; out calls saw CS move +24.5% on average.
| Called | Call | Price | Until | CS moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$12.52 | now | +0.6% | open |
| Mar 31, 2025 | OUT | C$7.41 | Oct 31, 2025 | +69.0% | ✕ wrong |
| Feb 29, 2024 | IN | C$7.12 | Mar 31, 2025 | +4.1% | ✓ right |
| Jan 31, 2024 | OUT | C$6.62 | Feb 29, 2024 | +7.6% | ✕ wrong |
| Apr 28, 2023 | IN | C$6.37 | Jan 31, 2024 | +3.9% | ✓ right |
| Jun 30, 2022 | OUT | C$3.25 | Apr 28, 2023 | +96.0% | ✕ wrong |
| May 29, 2020 | IN | C$0.660 | Jun 30, 2022 | +392.4% | ✓ right |
| Mar 31, 2020 | OUT | C$0.450 | May 29, 2020 | +46.7% | ✕ wrong |
| Jan 31, 2020 | IN | C$0.710 | Mar 31, 2020 | −36.6% | ✕ wrong |
| Nov 29, 2019 | OUT | C$0.580 | Jan 31, 2020 | +22.4% | ✕ wrong |
| Oct 31, 2019 | IN | C$0.500 | Nov 29, 2019 | +16.0% | ✓ right |
| Jul 31, 2018 | OUT | C$0.960 | Oct 31, 2019 | −47.9% | ✓ right |
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 31 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.