Momentum · month-end rule · Metals & mining
12-1 Momentum on Torex Gold Resources
What the play says
Latest reading: 12-1 return 18.2%
TXG 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding TXG over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.8% | +9.4% | +17.5% | +38.5% |
| Total return | +266% | +297% | +123% | +405% |
| Worst drawdown | −65.4% | −78.2% | −50.1% | −53.4% |
| Volatility | 44.7% | 59.3% | 42.4% | 50.8% |
| Sharpe ratio | 0.38 | 0.42 | 0.50 | 0.82 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.8 | 0 |
Every call, graded
Right on 12 of 28 closed calls (43%). In calls averaged +1.8%; out calls saw TXG move +4.8% on average.
| Called | Call | Price | Until | TXG moved | Result |
|---|---|---|---|---|---|
| Jun 28, 2024 | IN | C$21.00 | now | +237.3% | open |
| Dec 29, 2023 | OUT | C$14.48 | Jun 28, 2024 | +45.0% | ✕ wrong |
| Jan 31, 2023 | IN | C$18.12 | Dec 29, 2023 | −20.1% | ✕ wrong |
| May 31, 2022 | OUT | C$12.31 | Jan 31, 2023 | +47.3% | ✕ wrong |
| Mar 31, 2022 | IN | C$15.55 | May 31, 2022 | −20.9% | ✕ wrong |
| Apr 30, 2021 | OUT | C$14.74 | Mar 31, 2022 | +5.5% | ✕ wrong |
| Mar 31, 2021 | IN | C$15.72 | Apr 30, 2021 | −6.2% | ✕ wrong |
| Feb 26, 2021 | OUT | C$15.28 | Mar 31, 2021 | +2.9% | ✕ wrong |
| Jan 29, 2021 | IN | C$16.68 | Feb 26, 2021 | −8.4% | ✕ wrong |
| Oct 30, 2020 | OUT | C$17.79 | Jan 29, 2021 | −6.2% | ✓ right |
| Jan 31, 2019 | IN | C$14.16 | Oct 30, 2020 | +25.7% | ✓ right |
| Jun 30, 2017 | OUT | C$24.50 | Jan 31, 2019 | −42.2% | ✓ 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 29 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.