Momentum · month-end rule · Metals & mining
12-1 Momentum on Hudbay Minerals
What the play says
Latest reading: 12-1 return 88.3%
HBM 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding HBM over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.2% | +8.4% | +25.5% | +33.7% |
| Total return | +515% | +428% | +210% | +325% |
| Worst drawdown | −72.7% | −92.6% | −40.8% | −62.2% |
| Volatility | 37.2% | 56.2% | 42.8% | 52.6% |
| Sharpe ratio | 0.38 | 0.40 | 0.66 | 0.74 |
| Time invested | 56% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 13 of 26 closed calls (50%). In calls averaged +13.1%; out calls saw HBM move +3.4% on average.
| Called | Call | Price | Until | HBM moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | C$12.84 | now | +184.6% | open |
| Apr 30, 2025 | OUT | C$10.02 | Jul 31, 2025 | +28.2% | ✕ wrong |
| Feb 29, 2024 | IN | C$7.95 | Apr 30, 2025 | +25.9% | ✓ right |
| Nov 30, 2023 | OUT | C$6.13 | Feb 29, 2024 | +29.7% | ✕ wrong |
| Jun 30, 2023 | IN | C$6.31 | Nov 30, 2023 | −2.8% | ✕ wrong |
| May 31, 2022 | OUT | C$7.17 | Jun 30, 2023 | −12.0% | ✓ right |
| Jan 31, 2022 | IN | C$9.04 | May 31, 2022 | −20.6% | ✕ wrong |
| Dec 31, 2021 | OUT | C$9.07 | Jan 31, 2022 | −0.3% | ✓ right |
| Sep 30, 2020 | IN | C$5.56 | Dec 31, 2021 | +63.1% | ✓ right |
| Sep 30, 2019 | OUT | C$4.70 | Sep 30, 2020 | +18.4% | ✕ wrong |
| Jul 31, 2019 | IN | C$6.28 | Sep 30, 2019 | −25.3% | ✕ wrong |
| Jun 28, 2019 | OUT | C$6.95 | Jul 31, 2019 | −9.6% | ✓ 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 27 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.