Momentum · month-end rule · Metals & mining
12-1 Momentum on i-80 Gold
What the play says
Latest reading: 12-1 return 88.7%
IAU 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding IAU over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −10.4% | −9.5% | −10.4% | −9.5% |
| Total return | −39% | −36% | −39% | −36% |
| Worst drawdown | −60.1% | −87.9% | −60.1% | −87.9% |
| Volatility | 35.1% | 70.2% | 35.1% | 70.2% |
| Sharpe ratio | −0.26 | 0.18 | −0.26 | 0.18 |
| Time invested | 40% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 2 of 6 closed calls (33%). In calls averaged −25.4%; out calls saw IAU move +9.8% on average.
| Called | Call | Price | Until | IAU moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | IN | C$1.61 | now | +28.6% | open |
| Oct 31, 2023 | OUT | C$1.91 | Nov 28, 2025 | −15.7% | ✓ right |
| May 31, 2023 | IN | C$2.95 | Oct 31, 2023 | −35.3% | ✕ wrong |
| Mar 31, 2023 | OUT | C$3.29 | May 31, 2023 | −10.3% | ✓ right |
| Dec 30, 2022 | IN | C$3.78 | Mar 31, 2023 | −13.0% | ✕ wrong |
| Jul 29, 2022 | OUT | C$2.43 | Dec 30, 2022 | +55.6% | ✕ wrong |
| Apr 29, 2022 | IN | C$3.37 | Jul 29, 2022 | −27.9% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.