Momentum · month-end rule · Metals & mining
12-1 Momentum on Lundin Mining
What the play says
Latest reading: 12-1 return 79.2%
LUN 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 LUN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.9% | +11.7% | +20.2% | +29.8% |
| Total return | +1,922% | +989% | +150% | +267% |
| Worst drawdown | −72.2% | −95.3% | −36.3% | −53.9% |
| Volatility | 38.0% | 53.6% | 38.2% | 46.9% |
| Sharpe ratio | 0.51 | 0.44 | 0.57 | 0.71 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 18 of 32 closed calls (56%). In calls averaged +21.5%; out calls saw LUN move +1.5% on average.
| Called | Call | Price | Until | LUN moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | C$14.08 | now | +132.4% | open |
| Mar 31, 2025 | OUT | C$11.58 | Jul 31, 2025 | +21.6% | ✕ wrong |
| Jun 30, 2023 | IN | C$9.74 | Mar 31, 2025 | +18.9% | ✓ right |
| Jul 29, 2022 | OUT | C$6.48 | Jun 30, 2023 | +50.4% | ✕ wrong |
| Jun 30, 2022 | IN | C$7.32 | Jul 29, 2022 | −11.5% | ✕ wrong |
| Dec 31, 2021 | OUT | C$8.65 | Jun 30, 2022 | −15.4% | ✓ right |
| Jul 31, 2020 | IN | C$6.28 | Dec 31, 2021 | +37.8% | ✓ right |
| Jun 30, 2020 | OUT | C$6.09 | Jul 31, 2020 | +3.0% | ✕ wrong |
| May 29, 2020 | IN | C$5.31 | Jun 30, 2020 | +14.8% | ✓ right |
| Apr 30, 2020 | OUT | C$5.67 | May 29, 2020 | −6.5% | ✓ right |
| Oct 31, 2019 | IN | C$5.46 | Apr 30, 2020 | +3.9% | ✓ right |
| Sep 30, 2019 | OUT | C$5.12 | Oct 31, 2019 | +6.7% | ✕ 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 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.