Momentum · month-end rule · Metals & mining
12-1 Momentum on Taseko Mines
What the play says
Latest reading: 12-1 return 112.9%
TKO 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 TKO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.4% | +9.5% | +15.8% | +35.3% |
| Total return | +932% | +607% | +107% | +350% |
| Worst drawdown | −71.7% | −95.5% | −49.5% | −60.7% |
| Volatility | 44.2% | 64.9% | 48.3% | 60.7% |
| Sharpe ratio | 0.42 | 0.43 | 0.46 | 0.74 |
| Time invested | 50% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 12 of 25 closed calls (48%). In calls averaged +19.5%; out calls saw TKO move +7.4% on average.
| Called | Call | Price | Until | TKO moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | C$4.25 | now | +186.1% | open |
| Apr 30, 2025 | OUT | C$3.13 | Jul 31, 2025 | +35.8% | ✕ wrong |
| Apr 30, 2024 | IN | C$3.40 | Apr 30, 2025 | −7.9% | ✕ wrong |
| Nov 30, 2023 | OUT | C$1.64 | Apr 30, 2024 | +107.3% | ✕ wrong |
| May 31, 2023 | IN | C$1.64 | Nov 30, 2023 | 0.0% | ✕ wrong |
| May 31, 2022 | OUT | C$1.99 | May 31, 2023 | −17.6% | ✓ right |
| Jul 31, 2020 | IN | C$0.860 | May 31, 2022 | +131.4% | ✓ right |
| Mar 29, 2018 | OUT | C$1.52 | Jul 31, 2020 | −43.4% | ✓ right |
| Nov 30, 2016 | IN | C$0.880 | Mar 29, 2018 | +72.7% | ✓ right |
| Oct 31, 2016 | OUT | C$0.590 | Nov 30, 2016 | +49.2% | ✕ wrong |
| Aug 31, 2016 | IN | C$0.590 | Oct 31, 2016 | 0.0% | ✕ wrong |
| Oct 31, 2014 | OUT | C$1.48 | Aug 31, 2016 | −60.1% | ✓ 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 26 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.