Momentum · month-end rule · Metals & mining
12-1 Momentum on Kinross Gold
What the play says
Latest reading: 12-1 return 23.5%
K 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 K over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.3% | +7.5% | +46.5% | +37.4% |
| Total return | +913% | +378% | +569% | +386% |
| Worst drawdown | −62.1% | −92.4% | −38.9% | −53.6% |
| Volatility | 36.4% | 50.4% | 36.6% | 43.7% |
| Sharpe ratio | 0.43 | 0.36 | 1.12 | 0.86 |
| Time invested | 48% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 15 of 27 closed calls (56%). In calls averaged +7.0%; out calls saw K move +2.2% on average.
| Called | Call | Price | Until | K moved | Result |
|---|---|---|---|---|---|
| Apr 28, 2023 | IN | C$6.53 | now | +410.5% | open |
| Mar 31, 2023 | OUT | C$6.08 | Apr 28, 2023 | +7.4% | ✕ wrong |
| Feb 28, 2023 | IN | C$4.78 | Mar 31, 2023 | +27.2% | ✓ right |
| Jul 30, 2021 | OUT | C$7.45 | Feb 28, 2023 | −35.9% | ✓ right |
| Jun 30, 2021 | IN | C$7.17 | Jul 30, 2021 | +3.9% | ✓ right |
| Apr 30, 2021 | OUT | C$7.86 | Jun 30, 2021 | −8.8% | ✓ right |
| Jul 31, 2019 | IN | C$4.79 | Apr 30, 2021 | +64.0% | ✓ right |
| May 31, 2018 | OUT | C$4.20 | Jul 31, 2019 | +14.1% | ✕ wrong |
| Apr 30, 2018 | IN | C$4.46 | May 31, 2018 | −5.8% | ✕ wrong |
| Mar 29, 2018 | OUT | C$4.57 | Apr 30, 2018 | −2.4% | ✓ right |
| Sep 29, 2017 | IN | C$4.75 | Mar 29, 2018 | −3.8% | ✕ wrong |
| Apr 28, 2017 | OUT | C$4.26 | Sep 29, 2017 | +11.4% | ✕ wrong |
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 28 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.