Momentum · month-end rule · Metals & mining
12-1 Momentum on Montage Gold
What the play says
Latest reading: 12-1 return 187.4%
MAU 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding MAU over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +84.6% | +93.3% | +84.6% | +93.3% |
| Total return | +1,954% | +2,473% | +1,954% | +2,473% |
| Worst drawdown | −36.2% | −48.9% | −36.2% | −48.9% |
| Volatility | 46.3% | 55.5% | 46.3% | 55.5% |
| Sharpe ratio | 1.47 | 1.39 | 1.47 | 1.39 |
| Time invested | 67% | 100% | ||
| Switches per year | 2.2 | 0 |
Every call, graded
Right on 6 of 11 closed calls (55%). In calls averaged +1.5%; out calls saw MAU move +5.6% on average.
| Called | Call | Price | Until | MAU moved | Result |
|---|---|---|---|---|---|
| Feb 29, 2024 | IN | C$0.800 | now | +1,926.2% | open |
| Jan 31, 2024 | OUT | C$0.720 | Feb 29, 2024 | +11.1% | ✕ wrong |
| Dec 29, 2023 | IN | C$0.710 | Jan 31, 2024 | +1.4% | ✓ right |
| Nov 30, 2023 | OUT | C$0.740 | Dec 29, 2023 | −4.1% | ✓ right |
| Sep 29, 2023 | IN | C$0.540 | Nov 30, 2023 | +37.0% | ✓ right |
| Aug 31, 2023 | OUT | C$0.540 | Sep 29, 2023 | 0.0% | ✕ wrong |
| Jun 30, 2023 | IN | C$0.620 | Aug 31, 2023 | −12.9% | ✕ wrong |
| Jan 31, 2023 | OUT | C$0.720 | Jun 30, 2023 | −13.9% | ✓ right |
| Dec 30, 2022 | IN | C$0.670 | Jan 31, 2023 | +7.5% | ✓ right |
| May 31, 2022 | OUT | C$0.700 | Dec 30, 2022 | −4.3% | ✓ right |
| Mar 31, 2022 | IN | C$0.940 | May 31, 2022 | −25.5% | ✕ wrong |
| Oct 29, 2021 | OUT | C$0.650 | Mar 31, 2022 | +44.6% | ✕ 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 12 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.