Momentum · month-end rule · Metals & mining
12-1 Momentum on Wheaton Precious Metals
What the play says
Latest reading: 12-1 return 34.9%
WPM 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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding WPM over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +9.1% | +18.3% | +18.6% | +30.8% |
| Total return | +509% | +3,122% | +134% | +280% |
| Worst drawdown | −67.1% | −83.2% | −36.9% | −39.0% |
| Volatility | 34.7% | 45.5% | 32.7% | 35.3% |
| Sharpe ratio | 0.38 | 0.56 | 0.57 | 0.83 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 12 of 34 closed calls (35%). In calls averaged +12.3%; out calls saw WPM move +12.0% on average.
| Called | Call | Price | Until | WPM moved | Result |
|---|---|---|---|---|---|
| May 31, 2024 | IN | C$73.41 | now | +151.1% | open |
| Mar 28, 2024 | OUT | C$62.37 | May 31, 2024 | +17.7% | ✕ wrong |
| Apr 28, 2023 | IN | C$64.71 | Mar 28, 2024 | −3.6% | ✕ wrong |
| Mar 31, 2023 | OUT | C$63.01 | Apr 28, 2023 | +2.7% | ✕ wrong |
| Jan 31, 2023 | IN | C$58.70 | Mar 31, 2023 | +7.3% | ✓ right |
| Jun 30, 2022 | OUT | C$44.36 | Jan 31, 2023 | +32.3% | ✕ wrong |
| Nov 30, 2021 | IN | C$50.74 | Jun 30, 2022 | −12.6% | ✕ wrong |
| Apr 30, 2021 | OUT | C$47.96 | Nov 30, 2021 | +5.8% | ✕ wrong |
| Jan 31, 2019 | IN | C$25.29 | Apr 30, 2021 | +89.7% | ✓ right |
| Sep 28, 2018 | OUT | C$20.53 | Jan 31, 2019 | +23.2% | ✕ wrong |
| Jun 29, 2018 | IN | C$26.23 | Sep 28, 2018 | −21.7% | ✕ wrong |
| Mar 29, 2018 | OUT | C$23.53 | Jun 29, 2018 | +11.5% | ✕ 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 35 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.