Momentum · month-end rule · Metals & mining
12-1 Momentum on Labrador Iron Ore Royalty
What the play says
Latest reading: 12-1 return −2.6%
LIF 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LIF over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.0% | +9.2% | −0.6% | −3.1% |
| Total return | +272% | +350% | −3% | −14% |
| Worst drawdown | −50.8% | −76.5% | −41.4% | −46.5% |
| Volatility | 25.2% | 35.4% | 21.6% | 27.2% |
| Sharpe ratio | 0.37 | 0.38 | −0.09 | −0.12 |
| Time invested | 64% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 16 of 32 closed calls (50%). In calls averaged +14.4%; out calls saw LIF move +3.6% on average.
| Called | Call | Price | Until | LIF moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$23.85 | now | −13.1% | open |
| Nov 28, 2025 | IN | C$28.53 | Sep 30, 2026 | −16.4% | ✕ wrong |
| Jul 31, 2025 | OUT | C$25.12 | Nov 28, 2025 | +13.6% | ✕ wrong |
| Feb 28, 2025 | IN | C$27.45 | Jul 31, 2025 | −8.5% | ✕ wrong |
| Jan 31, 2025 | OUT | C$27.98 | Feb 28, 2025 | −1.9% | ✓ right |
| Mar 28, 2024 | IN | C$24.36 | Jan 31, 2025 | +14.9% | ✓ right |
| Jan 31, 2024 | OUT | C$27.42 | Mar 28, 2024 | −11.2% | ✓ right |
| Dec 29, 2023 | IN | C$26.50 | Jan 31, 2024 | +3.5% | ✓ right |
| Nov 30, 2023 | OUT | C$25.76 | Dec 29, 2023 | +2.9% | ✕ wrong |
| Apr 28, 2023 | IN | C$23.80 | Nov 30, 2023 | +8.2% | ✓ right |
| May 31, 2022 | OUT | C$22.59 | Apr 28, 2023 | +5.4% | ✕ wrong |
| Aug 31, 2020 | IN | C$15.38 | May 31, 2022 | +46.9% | ✓ 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 33 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.