Momentum · month-end rule · Consumer & retail
12-1 Momentum on Gildan Activewear
What the play says
Latest reading: 12-1 return −8.5%
GIL 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 GIL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.1% | +12.7% | +0.7% | +8.3% |
| Total return | +701% | +1,230% | +4% | +49% |
| Worst drawdown | −45.1% | −82.8% | −45.1% | −41.2% |
| Volatility | 24.7% | 36.7% | 29.1% | 32.4% |
| Sharpe ratio | 0.45 | 0.47 | 0.04 | 0.29 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 10 of 23 closed calls (43%). In calls averaged +27.1%; out calls saw GIL move +6.0% on average.
| Called | Call | Price | Until | GIL moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | OUT | C$60.63 | now | −2.0% | open |
| Nov 30, 2023 | IN | C$46.66 | Sep 30, 2026 | +29.9% | ✓ right |
| Oct 31, 2023 | OUT | C$37.23 | Nov 30, 2023 | +25.3% | ✕ wrong |
| Apr 28, 2023 | IN | C$41.16 | Oct 31, 2023 | −9.6% | ✕ wrong |
| Jun 30, 2022 | OUT | C$33.97 | Apr 28, 2023 | +21.2% | ✕ wrong |
| Mar 31, 2021 | IN | C$34.48 | Jun 30, 2022 | −1.5% | ✕ wrong |
| Nov 29, 2019 | OUT | C$34.71 | Mar 31, 2021 | −0.7% | ✓ right |
| Dec 31, 2018 | IN | C$36.30 | Nov 29, 2019 | −4.4% | ✕ wrong |
| Nov 30, 2018 | OUT | C$38.24 | Dec 31, 2018 | −5.1% | ✓ right |
| Sep 28, 2018 | IN | C$33.21 | Nov 30, 2018 | +15.1% | ✓ right |
| Apr 30, 2018 | OUT | C$31.37 | Sep 28, 2018 | +5.9% | ✕ wrong |
| Sep 29, 2017 | IN | C$32.47 | Apr 30, 2018 | −3.4% | ✕ 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 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.