Momentum · month-end rule · Metals & mining
12-1 Momentum on OceanaGold
What the play says
Latest reading: 12-1 return 38.6%
OGC 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 2008
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding OGC over exactly the same dates, after costs.
| Play, since 2008 | Hold, since 2008 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.6% | +24.6% | +25.3% | +39.9% |
| Total return | +415% | +5,002% | +207% | +432% |
| Worst drawdown | −77.4% | −77.8% | −50.2% | −46.9% |
| Volatility | 40.6% | 62.0% | 43.1% | 50.2% |
| Sharpe ratio | 0.39 | 0.64 | 0.65 | 0.84 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.7 | 0 |
Every call, graded
Right on 13 of 31 closed calls (42%). In calls averaged +8.2%; out calls saw OGC move +28.2% on average.
| Called | Call | Price | Until | OGC moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$9.19 | now | +294.7% | open |
| Dec 29, 2023 | OUT | C$7.42 | May 31, 2024 | +23.9% | ✕ wrong |
| Dec 30, 2022 | IN | C$7.46 | Dec 29, 2023 | −0.5% | ✕ wrong |
| Aug 31, 2022 | OUT | C$5.61 | Dec 30, 2022 | +33.0% | ✕ wrong |
| Feb 28, 2022 | IN | C$6.91 | Aug 31, 2022 | −18.8% | ✕ wrong |
| Dec 31, 2021 | OUT | C$6.36 | Feb 28, 2022 | +8.6% | ✕ wrong |
| Sep 30, 2021 | IN | C$5.98 | Dec 31, 2021 | +6.3% | ✓ right |
| Apr 30, 2021 | OUT | C$5.92 | Sep 30, 2021 | +1.0% | ✕ wrong |
| Feb 26, 2021 | IN | C$5.32 | Apr 30, 2021 | +11.4% | ✓ right |
| Sep 30, 2020 | OUT | C$5.92 | Feb 26, 2021 | −10.2% | ✓ right |
| Aug 31, 2020 | IN | C$8.70 | Sep 30, 2020 | −31.9% | ✕ wrong |
| Jul 31, 2019 | OUT | C$10.35 | Aug 31, 2020 | −15.9% | ✓ 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 32 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.