Momentum · month-end rule · Metals & mining
12-1 Momentum on Osisko Gold Royalties
What the play says
Latest reading: 12-1 return −7.8%
OR 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding OR over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +13.5% | +30.8% | +28.2% |
| Total return | +93% | +289% | +280% | +245% |
| Worst drawdown | −60.2% | −58.4% | −39.4% | −39.4% |
| Volatility | 27.0% | 36.8% | 31.1% | 34.7% |
| Sharpe ratio | 0.28 | 0.47 | 0.90 | 0.78 |
| Time invested | 64% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 8 of 22 closed calls (36%). In calls averaged +12.1%; out calls saw OR move +8.5% on average.
| Called | Call | Price | Until | OR moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | C$51.09 | now | −4.0% | open |
| Jun 28, 2024 | IN | C$20.94 | Aug 31, 2026 | +144.0% | ✓ right |
| May 31, 2024 | OUT | C$22.41 | Jun 28, 2024 | −6.5% | ✓ right |
| Apr 30, 2024 | IN | C$20.71 | May 31, 2024 | +8.2% | ✓ right |
| Mar 28, 2024 | OUT | C$21.77 | Apr 30, 2024 | −4.9% | ✓ right |
| Dec 30, 2022 | IN | C$15.74 | Mar 28, 2024 | +38.3% | ✓ right |
| May 31, 2022 | OUT | C$13.60 | Dec 30, 2022 | +15.7% | ✕ wrong |
| Jan 31, 2022 | IN | C$13.34 | May 31, 2022 | +2.0% | ✓ right |
| Dec 31, 2021 | OUT | C$14.70 | Jan 31, 2022 | −9.3% | ✓ right |
| Nov 30, 2021 | IN | C$14.77 | Dec 31, 2021 | −0.5% | ✕ wrong |
| Sep 30, 2021 | OUT | C$13.47 | Nov 30, 2021 | +9.7% | ✕ wrong |
| Sep 30, 2020 | IN | C$14.71 | Sep 30, 2021 | −8.4% | ✕ 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 23 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.