Momentum · month-end rule · Metals & mining
12-1 Momentum on Wesdome Gold Mines
What the play says
Latest reading: 12-1 return 53.2%
WDO 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 WDO over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +17.2% | +15.6% | +33.5% | +23.5% |
| Total return | +2,994% | +2,215% | +321% | +186% |
| Worst drawdown | −52.9% | −89.1% | −34.2% | −62.7% |
| Volatility | 41.5% | 64.2% | 39.6% | 49.8% |
| Sharpe ratio | 0.54 | 0.51 | 0.83 | 0.60 |
| Time invested | 59% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 7 of 17 closed calls (41%). In calls averaged +37.6%; out calls saw WDO move +9.4% on average.
| Called | Call | Price | Until | WDO moved | Result |
|---|---|---|---|---|---|
| Dec 29, 2023 | IN | C$7.70 | now | +307.6% | open |
| Jun 30, 2022 | OUT | C$11.14 | Dec 29, 2023 | −30.9% | ✓ right |
| Dec 31, 2021 | IN | C$11.50 | Jun 30, 2022 | −3.1% | ✕ wrong |
| Apr 30, 2021 | OUT | C$9.05 | Dec 31, 2021 | +27.0% | ✕ wrong |
| Jul 31, 2018 | IN | C$3.66 | Apr 30, 2021 | +147.5% | ✓ right |
| Aug 31, 2017 | OUT | C$2.40 | Jul 31, 2018 | +52.5% | ✕ wrong |
| Feb 29, 2016 | IN | C$1.64 | Aug 31, 2017 | +46.3% | ✓ right |
| Dec 31, 2015 | OUT | C$1.27 | Feb 29, 2016 | +29.1% | ✕ wrong |
| Mar 31, 2014 | IN | C$0.729 | Dec 31, 2015 | +74.0% | ✓ right |
| Sep 30, 2011 | OUT | C$2.57 | Mar 31, 2014 | −71.6% | ✓ right |
| Apr 30, 2009 | IN | C$1.38 | Sep 30, 2011 | +86.6% | ✓ right |
| May 30, 2008 | OUT | C$1.13 | Apr 30, 2009 | +21.4% | ✕ 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 18 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.