Momentum · month-end rule · Metals & mining
12-1 Momentum on G Mining Ventures
What the play says
Latest reading: 12-1 return 88.9%
GMIN 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 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GMIN over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +53.9% | +54.4% | +69.1% | +69.8% |
| Total return | +1,185% | +1,210% | +1,265% | +1,292% |
| Worst drawdown | −52.7% | −61.3% | −43.6% | −43.6% |
| Volatility | 58.3% | 63.4% | 48.5% | 55.6% |
| Sharpe ratio | 0.97 | 0.95 | 1.25 | 1.16 |
| Time invested | 79% | 100% | ||
| Switches per year | 0.3 | 0 |
Every call, graded
Right on 1 of 2 closed calls (50%). In calls averaged +11.7%; out calls saw GMIN move +4.7% on average.
| Called | Call | Price | Until | GMIN moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2023 | IN | C$3.60 | now | +1,137.5% | open |
| Nov 30, 2021 | OUT | C$3.44 | Feb 28, 2023 | +4.7% | ✕ wrong |
| Oct 30, 2020 | IN | C$3.08 | Nov 30, 2021 | +11.7% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 3 of 3 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.