Momentum · month-end rule · Metals & mining
12-1 Momentum on Eldorado Gold
What the play says
Latest reading: 12-1 return 55.1%
ELD 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 ELD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.3% | +5.5% | +21.3% | +34.8% |
| Total return | +205% | +221% | +161% | +342% |
| Worst drawdown | −69.9% | −96.7% | −47.9% | −55.0% |
| Volatility | 43.3% | 56.0% | 39.3% | 45.8% |
| Sharpe ratio | 0.29 | 0.35 | 0.59 | 0.80 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 17 of 39 closed calls (44%). In calls averaged +0.4%; out calls saw ELD move +6.7% on average.
| Called | Call | Price | Until | ELD moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | C$14.89 | now | +250.2% | open |
| Feb 28, 2023 | OUT | C$12.68 | Apr 28, 2023 | +17.4% | ✕ wrong |
| Jan 31, 2023 | IN | C$12.67 | Feb 28, 2023 | +0.1% | ✓ right |
| May 31, 2022 | OUT | C$10.08 | Jan 31, 2023 | +25.6% | ✕ wrong |
| Mar 31, 2022 | IN | C$13.92 | May 31, 2022 | −27.6% | ✕ wrong |
| Jul 30, 2021 | OUT | C$11.60 | Mar 31, 2022 | +20.1% | ✕ wrong |
| Jul 31, 2019 | IN | C$10.06 | Jul 30, 2021 | +15.2% | ✓ right |
| May 31, 2019 | OUT | C$5.00 | Jul 31, 2019 | +101.2% | ✕ wrong |
| Mar 29, 2019 | IN | C$6.14 | May 31, 2019 | −18.5% | ✕ wrong |
| Mar 31, 2017 | OUT | C$22.62 | Mar 29, 2019 | −72.9% | ✓ right |
| Jan 31, 2017 | IN | C$22.75 | Mar 31, 2017 | −0.6% | ✕ wrong |
| Dec 30, 2016 | OUT | C$21.37 | Jan 31, 2017 | +6.5% | ✕ 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 40 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.