Momentum · month-end rule · Energy & power
12-1 Momentum on Denison Mines
What the play says
Latest reading: 12-1 return 23.0%
DML 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 DML over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.6% | −0.9% | −9.0% | +8.3% |
| Total return | −63% | −17% | −38% | +49% |
| Worst drawdown | −94.2% | −97.9% | −55.6% | −53.1% |
| Volatility | 44.1% | 65.1% | 50.7% | 58.8% |
| Sharpe ratio | 0.07 | 0.28 | −0.01 | 0.36 |
| Time invested | 54% | 100% | ||
| Switches per year | 2.3 | 0 |
Every call, graded
Right on 19 of 50 closed calls (38%). In calls averaged −0.7%; out calls saw DML move +10.6% on average.
| Called | Call | Price | Until | DML moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | C$3.16 | now | −2.5% | open |
| Mar 31, 2025 | OUT | C$1.88 | Aug 29, 2025 | +68.1% | ✕ wrong |
| Feb 28, 2025 | IN | C$2.15 | Mar 31, 2025 | −12.6% | ✕ wrong |
| Jan 31, 2025 | OUT | C$2.66 | Feb 28, 2025 | −19.2% | ✓ right |
| Oct 31, 2024 | IN | C$2.93 | Jan 31, 2025 | −9.2% | ✕ wrong |
| Sep 30, 2024 | OUT | C$2.46 | Oct 31, 2024 | +19.1% | ✕ wrong |
| Sep 29, 2023 | IN | C$2.23 | Sep 30, 2024 | +10.3% | ✓ right |
| Aug 31, 2023 | OUT | C$1.90 | Sep 29, 2023 | +17.4% | ✕ wrong |
| Jun 30, 2023 | IN | C$1.66 | Aug 31, 2023 | +14.5% | ✓ right |
| Mar 31, 2023 | OUT | C$1.47 | Jun 30, 2023 | +12.9% | ✕ wrong |
| Jan 31, 2023 | IN | C$1.91 | Mar 31, 2023 | −23.0% | ✕ wrong |
| Oct 31, 2022 | OUT | C$1.72 | Jan 31, 2023 | +11.0% | ✕ 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 51 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.