Momentum · month-end rule · Metals & mining
12-1 Momentum on First Quantum Minerals
What the play says
Latest reading: 12-1 return 46.4%
FM 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 FM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.7% | +11.7% | −6.0% | +6.4% |
| Total return | +309% | +993% | −26% | +36% |
| Worst drawdown | −81.7% | −91.0% | −81.7% | −78.3% |
| Volatility | 41.4% | 63.5% | 46.1% | 58.2% |
| Sharpe ratio | 0.32 | 0.46 | 0.02 | 0.34 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 30 closed calls (33%). In calls averaged +18.9%; out calls saw FM move +10.4% on average.
| Called | Call | Price | Until | FM moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | C$17.99 | now | +107.3% | open |
| Nov 30, 2023 | OUT | C$11.11 | Oct 31, 2024 | +61.9% | ✕ wrong |
| Jun 30, 2023 | IN | C$31.26 | Nov 30, 2023 | −64.5% | ✕ wrong |
| Jan 31, 2023 | OUT | C$30.68 | Jun 30, 2023 | +1.9% | ✕ wrong |
| Dec 30, 2022 | IN | C$28.12 | Jan 31, 2023 | +9.1% | ✓ right |
| Jul 29, 2022 | OUT | C$23.12 | Dec 30, 2022 | +21.6% | ✕ wrong |
| Aug 31, 2020 | IN | C$12.75 | Jul 29, 2022 | +81.3% | ✓ right |
| Jan 31, 2020 | OUT | C$10.22 | Aug 31, 2020 | +24.7% | ✕ wrong |
| Dec 31, 2019 | IN | C$12.99 | Jan 31, 2020 | −21.3% | ✕ wrong |
| Nov 30, 2018 | OUT | C$12.02 | Dec 31, 2019 | +8.1% | ✕ wrong |
| Dec 29, 2017 | IN | C$17.34 | Nov 30, 2018 | −30.7% | ✕ wrong |
| Nov 30, 2017 | OUT | C$14.61 | Dec 29, 2017 | +18.7% | ✕ 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.