Momentum · month-end rule · Metals & mining
12-1 Momentum on Ivanhoe Mines
What the play says
Latest reading: 12-1 return −18.0%
IVN 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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding IVN over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.3% | +11.5% | −5.2% | +2.1% |
| Total return | +252% | +307% | −23% | +11% |
| Worst drawdown | −66.3% | −79.3% | −66.3% | −53.9% |
| Volatility | 36.9% | 56.4% | 39.3% | 52.3% |
| Sharpe ratio | 0.40 | 0.44 | −0.04 | 0.23 |
| Time invested | 53% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 9 of 20 closed calls (45%). In calls averaged +24.2%; out calls saw IVN move +9.4% on average.
| Called | Call | Price | Until | IVN moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$12.11 | now | −13.4% | open |
| May 29, 2026 | IN | C$12.21 | Aug 31, 2026 | −0.8% | ✕ wrong |
| Apr 30, 2026 | OUT | C$11.00 | May 29, 2026 | +11.0% | ✕ wrong |
| Feb 27, 2026 | IN | C$15.60 | Apr 30, 2026 | −29.5% | ✕ wrong |
| Mar 31, 2025 | OUT | C$12.22 | Feb 27, 2026 | +27.7% | ✕ wrong |
| Dec 29, 2023 | IN | C$12.85 | Mar 31, 2025 | −4.9% | ✕ wrong |
| Nov 30, 2023 | OUT | C$12.11 | Dec 29, 2023 | +6.1% | ✕ wrong |
| Apr 28, 2023 | IN | C$11.75 | Nov 30, 2023 | +3.1% | ✓ right |
| Jan 31, 2023 | OUT | C$12.50 | Apr 28, 2023 | −6.0% | ✓ right |
| Dec 30, 2022 | IN | C$10.70 | Jan 31, 2023 | +16.8% | ✓ right |
| Oct 31, 2022 | OUT | C$9.45 | Dec 30, 2022 | +13.2% | ✕ wrong |
| Sep 30, 2022 | IN | C$8.89 | Oct 31, 2022 | +6.3% | ✓ 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 21 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.