Momentum · month-end rule · Metals & mining
12-1 Momentum on Pan American Silver
What the play says
Latest reading: 12-1 return 35.2%
PAAS 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 PAAS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.6% | +7.0% | +15.5% | +16.1% |
| Total return | +300% | +334% | +104% | +110% |
| Worst drawdown | −71.4% | −79.4% | −37.1% | −54.0% |
| Volatility | 36.9% | 49.0% | 36.0% | 47.0% |
| Sharpe ratio | 0.31 | 0.35 | 0.47 | 0.47 |
| Time invested | 53% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 11 of 24 closed calls (46%). In calls averaged +8.9%; out calls saw PAAS move +7.1% on average.
| Called | Call | Price | Until | PAAS moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$28.98 | now | +107.7% | open |
| Oct 31, 2023 | OUT | C$19.17 | May 31, 2024 | +51.1% | ✕ wrong |
| Aug 31, 2023 | IN | C$21.14 | Oct 31, 2023 | −9.3% | ✕ wrong |
| May 31, 2021 | OUT | C$36.69 | Aug 31, 2023 | −42.4% | ✓ right |
| Sep 30, 2019 | IN | C$18.43 | May 31, 2021 | +99.1% | ✓ right |
| Mar 29, 2019 | OUT | C$15.60 | Sep 30, 2019 | +18.1% | ✕ wrong |
| Feb 28, 2019 | IN | C$15.49 | Mar 29, 2019 | +0.7% | ✓ right |
| Aug 31, 2018 | OUT | C$17.92 | Feb 28, 2019 | −13.5% | ✓ right |
| Jun 29, 2018 | IN | C$20.63 | Aug 31, 2018 | −13.1% | ✕ wrong |
| Oct 31, 2017 | OUT | C$18.37 | Jun 29, 2018 | +12.3% | ✕ wrong |
| Sep 29, 2017 | IN | C$18.52 | Oct 31, 2017 | −0.8% | ✕ wrong |
| Jul 31, 2017 | OUT | C$18.27 | Sep 29, 2017 | +1.3% | ✕ 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 25 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.