Momentum · month-end rule · Industrials & materials
12-1 Momentum on GFL Environmental
What the play says
Latest reading: 12-1 return −11.1%
GFL 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 2021
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GFL over exactly the same dates, after costs.
| Play, since 2021 | Hold, since 2021 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.0% | +6.2% | +2.5% | +4.9% |
| Total return | +24% | +39% | +13% | +27% |
| Worst drawdown | −36.1% | −39.3% | −36.1% | −39.3% |
| Volatility | 21.3% | 28.8% | 20.8% | 29.0% |
| Sharpe ratio | 0.13 | 0.23 | 0.04 | 0.18 |
| Time invested | 63% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 4 of 9 closed calls (44%). In calls averaged +3.6%; out calls saw GFL move +6.2% on average.
| Called | Call | Price | Until | GFL moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | C$63.51 | now | −3.6% | open |
| Jul 31, 2024 | IN | C$53.42 | Nov 28, 2025 | +18.9% | ✓ right |
| Apr 30, 2024 | OUT | C$43.79 | Jul 31, 2024 | +22.0% | ✕ wrong |
| Jan 31, 2024 | IN | C$45.52 | Apr 30, 2024 | −3.8% | ✕ wrong |
| Dec 29, 2023 | OUT | C$45.53 | Jan 31, 2024 | 0.0% | ✓ right |
| Feb 28, 2023 | IN | C$41.27 | Dec 29, 2023 | +10.3% | ✓ right |
| May 31, 2022 | OUT | C$38.35 | Feb 28, 2023 | +7.6% | ✕ wrong |
| Apr 29, 2022 | IN | C$38.45 | May 31, 2022 | −0.3% | ✕ wrong |
| Mar 31, 2022 | OUT | C$40.38 | Apr 29, 2022 | −4.8% | ✓ right |
| Mar 31, 2021 | IN | C$43.55 | Mar 31, 2022 | −7.3% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 10 of 10 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.