Momentum · month-end rule · Metals & mining
12-1 Momentum on NovaGold Resources
What the play says
Latest reading: 12-1 return −3.1%
NG 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 NG over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.7% | −0.3% | +14.1% | −1.5% |
| Total return | +1,002% | −6% | +93% | −7% |
| Worst drawdown | −62.5% | −97.3% | −62.5% | −70.3% |
| Volatility | 42.8% | 65.7% | 48.4% | 60.5% |
| Sharpe ratio | 0.43 | 0.31 | 0.43 | 0.21 |
| Time invested | 55% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 19 of 29 closed calls (66%). In calls averaged +20.2%; out calls saw NG move −7.2% on average.
| Called | Call | Price | Until | NG moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$11.92 | now | −25.7% | open |
| Aug 29, 2025 | IN | C$9.39 | Aug 31, 2026 | +26.9% | ✓ right |
| Jul 31, 2025 | OUT | C$7.17 | Aug 29, 2025 | +31.0% | ✕ wrong |
| Dec 31, 2024 | IN | C$4.81 | Jul 31, 2025 | +49.1% | ✓ right |
| Nov 29, 2024 | OUT | C$5.15 | Dec 31, 2024 | −6.6% | ✓ right |
| Aug 30, 2024 | IN | C$5.71 | Nov 29, 2024 | −9.8% | ✕ wrong |
| Jul 31, 2024 | OUT | C$6.59 | Aug 30, 2024 | −13.4% | ✓ right |
| Jun 28, 2024 | IN | C$4.79 | Jul 31, 2024 | +37.6% | ✓ right |
| Sep 29, 2023 | OUT | C$5.20 | Jun 28, 2024 | −7.9% | ✓ right |
| Aug 31, 2023 | IN | C$5.59 | Sep 29, 2023 | −7.0% | ✕ wrong |
| Jul 31, 2023 | OUT | C$5.94 | Aug 31, 2023 | −5.9% | ✓ right |
| Apr 28, 2023 | IN | C$7.34 | Jul 31, 2023 | −19.1% | ✕ 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 30 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.