Momentum · month-end rule · Metals & mining
12-1 Momentum on Seabridge Gold
What the play says
Latest reading: 12-1 return 40.5%
SEA 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 SEA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.7% | +11.3% | −8.4% | +11.9% |
| Total return | +230% | +915% | −35% | +75% |
| Worst drawdown | −75.1% | −88.0% | −57.5% | −53.0% |
| Volatility | 40.0% | 57.1% | 38.8% | 51.7% |
| Sharpe ratio | 0.29 | 0.44 | −0.13 | 0.40 |
| Time invested | 54% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 16 of 41 closed calls (39%). In calls averaged +11.9%; out calls saw SEA move +11.9% on average.
| Called | Call | Price | Until | SEA moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$31.40 | now | +14.9% | open |
| Mar 31, 2025 | OUT | C$15.67 | Sep 30, 2025 | +100.4% | ✕ wrong |
| Apr 30, 2024 | IN | C$19.29 | Mar 31, 2025 | −18.8% | ✕ wrong |
| Sep 29, 2023 | OUT | C$13.36 | Apr 30, 2024 | +44.4% | ✕ wrong |
| Aug 31, 2023 | IN | C$14.84 | Sep 29, 2023 | −10.0% | ✕ wrong |
| Jul 31, 2023 | OUT | C$15.72 | Aug 31, 2023 | −5.6% | ✓ right |
| May 31, 2023 | IN | C$17.23 | Jul 31, 2023 | −8.8% | ✕ wrong |
| May 31, 2022 | OUT | C$16.71 | May 31, 2023 | +3.1% | ✕ wrong |
| Mar 31, 2022 | IN | C$21.67 | May 31, 2022 | −22.9% | ✕ wrong |
| May 31, 2021 | OUT | C$21.58 | Mar 31, 2022 | +0.4% | ✕ wrong |
| May 29, 2020 | IN | C$20.10 | May 31, 2021 | +7.4% | ✓ right |
| Dec 31, 2019 | OUT | C$16.80 | May 29, 2020 | +19.7% | ✕ 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 42 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.