Momentum · month-end rule · Metals & mining
12-1 Momentum on Silvercorp Metals
What the play says
Latest reading: 12-1 return 96.8%
SVM 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 SVM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.1% | +16.5% | +10.6% | +23.6% |
| Total return | +2,424% | +2,613% | +65% | +187% |
| Worst drawdown | −74.6% | −95.6% | −52.3% | −52.5% |
| Volatility | 46.4% | 63.3% | 43.3% | 54.2% |
| Sharpe ratio | 0.51 | 0.53 | 0.36 | 0.59 |
| Time invested | 53% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 9 of 19 closed calls (47%). In calls averaged +98.0%; out calls saw SVM move +13.3% on average.
| Called | Call | Price | Until | SVM moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | C$5.75 | now | +148.0% | open |
| May 30, 2025 | OUT | C$5.37 | Jun 30, 2025 | +7.2% | ✕ wrong |
| May 31, 2024 | IN | C$5.37 | May 30, 2025 | 0.0% | ✕ wrong |
| Oct 31, 2023 | OUT | C$3.02 | May 31, 2024 | +77.6% | ✕ wrong |
| Apr 28, 2023 | IN | C$4.85 | Oct 31, 2023 | −37.7% | ✕ wrong |
| Jul 30, 2021 | OUT | C$5.99 | Apr 28, 2023 | −19.1% | ✓ right |
| Aug 30, 2019 | IN | C$5.45 | Jul 30, 2021 | +10.0% | ✓ right |
| Nov 30, 2018 | OUT | C$2.47 | Aug 30, 2019 | +121.0% | ✕ wrong |
| Sep 28, 2018 | IN | C$2.99 | Nov 30, 2018 | −17.5% | ✕ wrong |
| Jan 31, 2018 | OUT | C$3.07 | Sep 28, 2018 | −2.6% | ✓ right |
| Dec 29, 2017 | IN | C$3.09 | Jan 31, 2018 | −0.6% | ✕ wrong |
| Sep 29, 2017 | OUT | C$3.17 | Dec 29, 2017 | −2.6% | ✓ 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 20 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.