Momentum · month-end rule · Metals & mining
12-1 Momentum on NGEx Minerals
What the play says
Latest reading: 12-1 return 4.9%
NGEX 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 2020
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding NGEX over exactly the same dates, after costs.
| Play, since 2020 | Hold, since 2020 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +82.8% | +92.2% | +84.5% | +97.1% |
| Total return | +3,823% | +5,216% | +2,006% | +2,824% |
| Worst drawdown | −66.7% | −66.7% | −66.7% | −66.7% |
| Volatility | 66.4% | 66.9% | 61.0% | 61.5% |
| Sharpe ratio | 1.19 | 1.26 | 1.24 | 1.35 |
| Time invested | 99% | 100% | ||
| Switches per year | 0.3 | 0 |
Every call, graded
Right on 1 of 2 closed calls (50%). In calls averaged +76.3%; out calls saw NGEX move +35.4% on average.
| Called | Call | Price | Until | NGEX moved | Result |
|---|---|---|---|---|---|
| Oct 29, 2021 | IN | C$1.11 | now | +2,007.2% | open |
| Sep 30, 2021 | OUT | C$0.820 | Oct 29, 2021 | +35.4% | ✕ wrong |
| Aug 31, 2020 | IN | C$0.465 | Sep 30, 2021 | +76.3% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 3 of 3 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.