Momentum · month-end rule · Financials
12-1 Momentum on goeasy
What the play says
Latest reading: 12-1 return −75.3%
GSY 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 GSY over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.3% | +7.8% | −8.2% | −23.1% |
| Total return | +1,712% | +411% | −35% | −73% |
| Worst drawdown | −70.4% | −86.5% | −48.4% | −86.5% |
| Volatility | 32.6% | 43.4% | 26.7% | 49.1% |
| Sharpe ratio | 0.52 | 0.36 | −0.33 | −0.32 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 22 of 35 closed calls (63%). In calls averaged +26.6%; out calls saw GSY move +1.0% on average.
| Called | Call | Price | Until | GSY moved | Result |
|---|---|---|---|---|---|
| Dec 31, 2025 | OUT | C$131.29 | now | −66.5% | open |
| Sep 30, 2025 | IN | C$171.43 | Dec 31, 2025 | −23.4% | ✕ wrong |
| Apr 30, 2025 | OUT | C$151.30 | Sep 30, 2025 | +13.3% | ✕ wrong |
| Dec 29, 2023 | IN | C$148.09 | Apr 30, 2025 | +2.2% | ✓ right |
| Nov 30, 2023 | OUT | C$124.12 | Dec 29, 2023 | +19.3% | ✕ wrong |
| Jun 30, 2023 | IN | C$102.05 | Nov 30, 2023 | +21.6% | ✓ right |
| Apr 29, 2022 | OUT | C$101.64 | Jun 30, 2023 | +0.4% | ✕ wrong |
| Aug 31, 2020 | IN | C$55.25 | Apr 29, 2022 | +84.0% | ✓ right |
| Jul 31, 2020 | OUT | C$47.81 | Aug 31, 2020 | +15.6% | ✕ wrong |
| Jun 30, 2020 | IN | C$46.52 | Jul 31, 2020 | +2.8% | ✓ right |
| Apr 30, 2020 | OUT | C$37.53 | Jun 30, 2020 | +24.0% | ✕ wrong |
| Feb 28, 2019 | IN | C$36.72 | Apr 30, 2020 | +2.2% | ✓ right |
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 36 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.