Momentum · month-end rule · Metals & mining
12-1 Momentum on Ero Copper
What the play says
Latest reading: 12-1 return 82.9%
ERO 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 2018
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ERO over exactly the same dates, after costs.
| Play, since 2018 | Hold, since 2018 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.8% | +21.6% | −5.3% | +15.2% |
| Total return | +15% | +369% | −24% | +102% |
| Worst drawdown | −73.0% | −62.8% | −61.1% | −57.9% |
| Volatility | 41.5% | 54.2% | 37.1% | 53.5% |
| Sharpe ratio | 0.18 | 0.58 | −0.06 | 0.46 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 3 of 12 closed calls (25%). In calls averaged −4.6%; out calls saw ERO move +32.0% on average.
| Called | Call | Price | Until | ERO moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$29.95 | now | +63.8% | open |
| Jan 31, 2025 | OUT | C$19.46 | Oct 31, 2025 | +53.9% | ✕ wrong |
| Sep 30, 2024 | IN | C$30.11 | Jan 31, 2025 | −35.4% | ✕ wrong |
| Jul 31, 2024 | OUT | C$27.00 | Sep 30, 2024 | +11.5% | ✕ wrong |
| May 31, 2024 | IN | C$29.02 | Jul 31, 2024 | −7.0% | ✕ wrong |
| Dec 29, 2023 | OUT | C$20.95 | May 31, 2024 | +38.5% | ✕ wrong |
| Jan 31, 2023 | IN | C$21.85 | Dec 29, 2023 | −4.1% | ✕ wrong |
| Feb 28, 2022 | OUT | C$18.14 | Jan 31, 2023 | +20.5% | ✕ wrong |
| Jan 29, 2021 | IN | C$18.67 | Feb 28, 2022 | −2.8% | ✕ wrong |
| Nov 30, 2020 | OUT | C$22.28 | Jan 29, 2021 | −16.2% | ✓ right |
| Sep 30, 2020 | IN | C$19.41 | Nov 30, 2020 | +14.8% | ✓ right |
| Mar 31, 2020 | OUT | C$10.57 | Sep 30, 2020 | +83.6% | ✕ 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 13 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.