Momentum · month-end rule · Metals & mining
12-1 Momentum on Triple Flag Precious Metals
What the play says
Latest reading: 12-1 return 15.2%
TFPM 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 2022
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TFPM over exactly the same dates, after costs.
| Play, since 2022 | Hold, since 2022 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +22.9% | +27.1% | +22.9% | +27.1% |
| Total return | +145% | +184% | +145% | +184% |
| Worst drawdown | −33.3% | −33.3% | −33.3% | −33.3% |
| Volatility | 34.3% | 36.4% | 34.3% | 36.4% |
| Sharpe ratio | 0.65 | 0.72 | 0.65 | 0.72 |
| Time invested | 91% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 3 of 4 closed calls (75%). In calls averaged +11.5%; out calls saw TFPM move +10.6% on average.
| Called | Call | Price | Until | TFPM moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$22.03 | now | +98.7% | open |
| Jan 31, 2024 | OUT | C$16.74 | May 31, 2024 | +31.6% | ✕ wrong |
| Jul 29, 2022 | IN | C$14.27 | Jan 31, 2024 | +17.3% | ✓ right |
| Jun 30, 2022 | OUT | C$15.94 | Jul 29, 2022 | −10.5% | ✓ right |
| May 31, 2022 | IN | C$15.10 | Jun 30, 2022 | +5.6% | ✓ right |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 5 of 5 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.