Momentum · month-end rule · Metals & mining
12-1 Momentum on Skeena Resources
What the play says
Latest reading: 12-1 return 76.3%
SKE 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 SKE over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −4.9% | −3.9% | +29.7% | +26.4% |
| Total return | −66% | −57% | +265% | +220% |
| Worst drawdown | −98.8% | −99.6% | −54.8% | −73.9% |
| Volatility | 70.9% | 134.6% | 43.6% | 56.7% |
| Sharpe ratio | 0.25 | 0.58 | 0.73 | 0.63 |
| Time invested | 47% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 9 of 34 closed calls (26%). In calls averaged +12.9%; out calls saw SKE move +17.7% on average.
| Called | Call | Price | Until | SKE moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2024 | IN | C$8.99 | now | +375.3% | open |
| Nov 30, 2023 | OUT | C$6.08 | Jul 31, 2024 | +47.9% | ✕ wrong |
| Aug 31, 2023 | IN | C$6.71 | Nov 30, 2023 | −9.4% | ✕ wrong |
| Jul 31, 2023 | OUT | C$6.81 | Aug 31, 2023 | −1.5% | ✓ right |
| May 31, 2023 | IN | C$7.24 | Jul 31, 2023 | −5.9% | ✕ wrong |
| Apr 29, 2022 | OUT | C$11.86 | May 31, 2023 | −39.0% | ✓ right |
| Jan 31, 2022 | IN | C$14.00 | Apr 29, 2022 | −15.3% | ✕ wrong |
| Dec 31, 2021 | OUT | C$13.17 | Jan 31, 2022 | +6.3% | ✕ wrong |
| Oct 31, 2019 | IN | C$2.20 | Dec 31, 2021 | +498.6% | ✓ right |
| Jul 31, 2019 | OUT | C$1.44 | Oct 31, 2019 | +52.8% | ✕ wrong |
| May 31, 2019 | IN | C$1.72 | Jul 31, 2019 | −16.3% | ✕ wrong |
| Mar 31, 2017 | OUT | C$2.80 | May 31, 2019 | −38.6% | ✓ right |
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 35 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.