Momentum · month-end rule · Metals & mining
12-1 Momentum on SSR Mining
What the play says
Latest reading: 12-1 return 53.4%
SSRM 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 SSRM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.3% | +5.9% | +25.2% | +20.3% |
| Total return | +277% | +242% | +206% | +150% |
| Worst drawdown | −82.0% | −90.0% | −45.8% | −81.7% |
| Volatility | 37.7% | 55.6% | 40.2% | 56.1% |
| Sharpe ratio | 0.30 | 0.36 | 0.66 | 0.57 |
| Time invested | 51% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 11 of 29 closed calls (38%). In calls averaged +7.2%; out calls saw SSRM move +3.2% on average.
| Called | Call | Price | Until | SSRM moved | Result |
|---|---|---|---|---|---|
| Feb 28, 2025 | IN | C$14.42 | now | +226.4% | open |
| Oct 31, 2023 | OUT | C$19.06 | Feb 28, 2025 | −24.4% | ✓ right |
| Aug 31, 2023 | IN | C$19.90 | Oct 31, 2023 | −4.2% | ✕ wrong |
| Feb 28, 2023 | OUT | C$18.28 | Aug 31, 2023 | +8.9% | ✕ wrong |
| Jan 31, 2023 | IN | C$22.01 | Feb 28, 2023 | −16.9% | ✕ wrong |
| Nov 30, 2022 | OUT | C$19.96 | Jan 31, 2023 | +10.3% | ✕ wrong |
| Oct 31, 2022 | IN | C$18.28 | Nov 30, 2022 | +9.2% | ✓ right |
| Sep 30, 2022 | OUT | C$19.79 | Oct 31, 2022 | −7.6% | ✓ right |
| Jan 31, 2022 | IN | C$20.17 | Sep 30, 2022 | −1.9% | ✕ wrong |
| Apr 30, 2021 | OUT | C$18.63 | Jan 31, 2022 | +8.2% | ✕ wrong |
| Jan 29, 2021 | IN | C$21.39 | Apr 30, 2021 | −12.9% | ✕ wrong |
| Dec 31, 2020 | OUT | C$24.33 | Jan 29, 2021 | −12.1% | ✓ 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 30 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.