Momentum · month-end rule · Metals & mining
12-1 Momentum on Dundee Precious Metals
What the play says
Latest reading: 12-1 return 104.1%
DPM 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 DPM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.4% | +10.7% | +45.8% | +51.0% |
| Total return | +3,119% | +806% | +553% | +676% |
| Worst drawdown | −70.6% | −94.2% | −31.4% | −41.9% |
| Volatility | 36.2% | 51.7% | 33.9% | 40.8% |
| Sharpe ratio | 0.57 | 0.42 | 1.17 | 1.12 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 15 of 30 closed calls (50%). In calls averaged +21.3%; out calls saw DPM move −2.3% on average.
| Called | Call | Price | Until | DPM moved | Result |
|---|---|---|---|---|---|
| Apr 30, 2024 | IN | C$10.16 | now | +477.5% | open |
| Mar 28, 2024 | OUT | C$10.04 | Apr 30, 2024 | +1.2% | ✕ wrong |
| Feb 29, 2024 | IN | C$8.90 | Mar 28, 2024 | +12.8% | ✓ right |
| Jan 31, 2024 | OUT | C$8.35 | Feb 29, 2024 | +6.6% | ✕ wrong |
| Feb 28, 2023 | IN | C$8.29 | Jan 31, 2024 | +0.7% | ✓ right |
| Jul 29, 2022 | OUT | C$5.75 | Feb 28, 2023 | +44.1% | ✕ wrong |
| Jun 30, 2022 | IN | C$5.96 | Jul 29, 2022 | −3.4% | ✕ wrong |
| Jun 30, 2021 | OUT | C$6.81 | Jun 30, 2022 | −12.6% | ✓ right |
| Mar 29, 2018 | IN | C$2.72 | Jun 30, 2021 | +150.4% | ✓ right |
| Feb 28, 2018 | OUT | C$2.70 | Mar 29, 2018 | +0.7% | ✕ wrong |
| Nov 30, 2017 | IN | C$2.62 | Feb 28, 2018 | +3.4% | ✓ right |
| Jun 30, 2017 | OUT | C$2.14 | Nov 30, 2017 | +22.3% | ✕ 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 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.