Momentum · month-end rule · Financials
12-1 Momentum on Sprott
What the play says
Latest reading: 12-1 return 59.6%
SII 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding SII over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +3.9% | +12.5% | +24.0% | +30.5% |
| Total return | +93% | +656% | +192% | +276% |
| Worst drawdown | −78.3% | −78.7% | −46.4% | −43.4% |
| Volatility | 30.6% | 40.3% | 34.5% | 37.5% |
| Sharpe ratio | 0.23 | 0.46 | 0.69 | 0.80 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 8 of 31 closed calls (26%). In calls averaged −2.2%; out calls saw SII move +12.2% on average.
| Called | Call | Price | Until | SII moved | Result |
|---|---|---|---|---|---|
| Feb 29, 2024 | IN | C$47.45 | now | +231.3% | open |
| Jan 31, 2024 | OUT | C$44.62 | Feb 29, 2024 | +6.3% | ✕ wrong |
| Dec 29, 2023 | IN | C$42.45 | Jan 31, 2024 | +5.1% | ✓ right |
| Jul 31, 2023 | OUT | C$40.89 | Dec 29, 2023 | +3.8% | ✕ wrong |
| May 31, 2023 | IN | C$42.80 | Jul 31, 2023 | −4.5% | ✕ wrong |
| Mar 31, 2023 | OUT | C$45.63 | May 31, 2023 | −6.2% | ✓ right |
| Jan 31, 2023 | IN | C$48.28 | Mar 31, 2023 | −5.5% | ✕ wrong |
| Oct 31, 2022 | OUT | C$44.49 | Jan 31, 2023 | +8.5% | ✕ wrong |
| Aug 31, 2022 | IN | C$45.25 | Oct 31, 2022 | −1.7% | ✕ wrong |
| Jun 30, 2022 | OUT | C$40.48 | Aug 31, 2022 | +11.8% | ✕ wrong |
| Oct 29, 2021 | IN | C$44.73 | Jun 30, 2022 | −9.5% | ✕ wrong |
| Jul 30, 2021 | OUT | C$40.57 | Oct 29, 2021 | +10.3% | ✕ 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 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.