Momentum · month-end rule · Metals & mining
12-1 Momentum on Americas Gold and Silver
What the play says
Latest reading: 12-1 return 43.9%
USA 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 USA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +1.8% | −5.9% | +30.2% | +15.4% |
| Total return | +47% | −73% | +271% | +104% |
| Worst drawdown | −95.7% | −99.0% | −62.5% | −82.1% |
| Volatility | 44.9% | 76.5% | 50.1% | 73.5% |
| Sharpe ratio | 0.22 | 0.27 | 0.70 | 0.51 |
| Time invested | 45% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 8 of 23 closed calls (35%). In calls averaged −4.5%; out calls saw USA move +2.9% on average.
| Called | Call | Price | Until | USA moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2024 | IN | C$1.60 | now | +231.9% | open |
| Apr 30, 2021 | OUT | C$6.62 | Oct 31, 2024 | −75.8% | ✓ right |
| Jan 29, 2021 | IN | C$8.68 | Apr 30, 2021 | −23.6% | ✕ wrong |
| Oct 30, 2020 | OUT | C$8.57 | Jan 29, 2021 | +1.2% | ✕ wrong |
| Sep 30, 2020 | IN | C$8.78 | Oct 30, 2020 | −2.3% | ✕ wrong |
| Jul 31, 2020 | OUT | C$11.22 | Sep 30, 2020 | −21.8% | ✓ right |
| May 29, 2020 | IN | C$8.50 | Jul 31, 2020 | +32.1% | ✓ right |
| Apr 30, 2020 | OUT | C$7.47 | May 29, 2020 | +13.7% | ✕ wrong |
| Aug 30, 2019 | IN | C$11.25 | Apr 30, 2020 | −33.6% | ✕ wrong |
| Aug 31, 2018 | OUT | C$7.60 | Aug 30, 2019 | +48.0% | ✕ wrong |
| Aug 31, 2017 | IN | C$13.32 | Aug 31, 2018 | −43.0% | ✕ wrong |
| Jun 30, 2017 | OUT | C$9.32 | Aug 31, 2017 | +42.9% | ✕ wrong |
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 24 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.