Momentum · month-end rule · Metals & mining
12-1 Momentum on Fortuna Mining
What the play says
Latest reading: 12-1 return 34.3%
FVI 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 FVI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.2% | +18.8% | +2.0% | +20.5% |
| Total return | +723% | +4,037% | +11% | +153% |
| Worst drawdown | −90.8% | −89.2% | −61.3% | −56.6% |
| Volatility | 54.3% | 68.3% | 42.9% | 55.7% |
| Sharpe ratio | 0.39 | 0.55 | 0.17 | 0.55 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 9 of 22 closed calls (41%). In calls averaged +59.9%; out calls saw FVI move +25.4% on average.
| Called | Call | Price | Until | FVI moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$8.54 | now | +69.6% | open |
| Jan 31, 2024 | OUT | C$4.10 | May 31, 2024 | +108.3% | ✕ wrong |
| Dec 29, 2023 | IN | C$5.10 | Jan 31, 2024 | −19.6% | ✕ wrong |
| Oct 31, 2023 | OUT | C$3.89 | Dec 29, 2023 | +31.1% | ✕ wrong |
| Apr 28, 2023 | IN | C$5.08 | Oct 31, 2023 | −23.4% | ✕ wrong |
| Mar 31, 2023 | OUT | C$5.15 | Apr 28, 2023 | −1.4% | ✓ right |
| Dec 30, 2022 | IN | C$5.09 | Mar 31, 2023 | +1.2% | ✓ right |
| Jul 30, 2021 | OUT | C$5.93 | Dec 30, 2022 | −14.2% | ✓ right |
| May 29, 2020 | IN | C$6.18 | Jul 30, 2021 | −4.0% | ✕ wrong |
| Mar 31, 2020 | OUT | C$3.24 | May 29, 2020 | +90.7% | ✕ wrong |
| Feb 28, 2020 | IN | C$3.93 | Mar 31, 2020 | −17.6% | ✕ wrong |
| Nov 30, 2018 | OUT | C$4.27 | Feb 28, 2020 | −8.0% | ✓ right |
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 23 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.