Momentum · month-end rule · Metals & mining
12-1 Momentum on Perpetua Resources
What the play says
Latest reading: 12-1 return 22.7%
PPTA 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 2012
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PPTA over exactly the same dates, after costs.
| Play, since 2012 | Hold, since 2012 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.3% | +1.0% | +21.0% | +34.4% |
| Total return | −4% | +15% | +159% | +336% |
| Worst drawdown | −85.8% | −93.2% | −59.2% | −67.7% |
| Volatility | 46.6% | 70.1% | 58.4% | 71.9% |
| Sharpe ratio | 0.19 | 0.33 | 0.56 | 0.71 |
| Time invested | 44% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 7 of 15 closed calls (47%). In calls averaged +26.3%; out calls saw PPTA move +20.2% on average.
| Called | Call | Price | Until | PPTA moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | C$30.69 | now | −10.3% | open |
| Aug 31, 2026 | OUT | C$34.55 | Sep 30, 2026 | −11.2% | ✓ right |
| May 31, 2024 | IN | C$9.31 | Aug 31, 2026 | +271.1% | ✓ right |
| Jan 31, 2024 | OUT | C$3.88 | May 31, 2024 | +139.9% | ✕ wrong |
| Apr 28, 2023 | IN | C$6.45 | Jan 31, 2024 | −39.8% | ✕ wrong |
| Mar 31, 2023 | OUT | C$6.02 | Apr 28, 2023 | +7.1% | ✕ wrong |
| Feb 28, 2023 | IN | C$4.89 | Mar 31, 2023 | +23.1% | ✓ right |
| Jul 30, 2021 | OUT | C$7.09 | Feb 28, 2023 | −31.0% | ✓ right |
| Aug 31, 2020 | IN | C$17.50 | Jul 30, 2021 | −59.5% | ✕ wrong |
| Jan 31, 2019 | OUT | C$8.70 | Aug 31, 2020 | +101.1% | ✕ wrong |
| Feb 28, 2018 | IN | C$9.00 | Jan 31, 2019 | −3.3% | ✕ wrong |
| Jun 30, 2017 | OUT | C$7.20 | Feb 28, 2018 | +25.0% | ✕ 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 16 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.