Momentum · month-end rule · Metals & mining
12-1 Momentum on K92 Mining
What the play says
Latest reading: 12-1 return 74.2%
KNT 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 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding KNT over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +25.0% | +24.2% | +29.3% | +30.5% |
| Total return | +2,483% | +2,262% | +260% | +276% |
| Worst drawdown | −65.6% | −80.5% | −38.5% | −54.5% |
| Volatility | 40.1% | 60.4% | 39.1% | 49.5% |
| Sharpe ratio | 0.71 | 0.62 | 0.76 | 0.71 |
| Time invested | 54% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 6 of 13 closed calls (46%). In calls averaged +120.5%; out calls saw KNT move +5.9% on average.
| Called | Call | Price | Until | KNT moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$7.62 | now | +244.1% | open |
| Feb 28, 2023 | OUT | C$7.44 | May 31, 2024 | +2.4% | ✕ wrong |
| Dec 30, 2022 | IN | C$7.67 | Feb 28, 2023 | −3.0% | ✕ wrong |
| Nov 30, 2022 | OUT | C$7.73 | Dec 30, 2022 | −0.8% | ✓ right |
| Aug 31, 2022 | IN | C$6.77 | Nov 30, 2022 | +14.2% | ✓ right |
| Jun 30, 2022 | OUT | C$7.77 | Aug 31, 2022 | −12.9% | ✓ right |
| Mar 31, 2022 | IN | C$9.14 | Jun 30, 2022 | −15.0% | ✕ wrong |
| Oct 29, 2021 | OUT | C$7.22 | Mar 31, 2022 | +26.6% | ✕ wrong |
| Jul 31, 2018 | IN | C$0.860 | Oct 29, 2021 | +739.5% | ✓ right |
| May 31, 2017 | OUT | C$0.950 | Jul 31, 2018 | −9.5% | ✓ right |
| Jun 30, 2016 | IN | C$1.09 | May 31, 2017 | −12.8% | ✕ wrong |
| Aug 31, 2015 | OUT | C$0.600 | Jun 30, 2016 | +81.7% | ✕ 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 14 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.