Momentum · month-end rule · Industrials & materials
12-1 Momentum on Waste Connections
What the play says
Latest reading: 12-1 return −5.5%
WCN 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 WCN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +12.0% | +11.8% | +7.9% | +7.4% |
| Total return | +1,068% | +1,004% | +46% | +43% |
| Worst drawdown | −26.5% | −70.1% | −18.2% | −26.2% |
| Volatility | 18.5% | 24.7% | 15.9% | 19.0% |
| Sharpe ratio | 0.61 | 0.50 | 0.32 | 0.27 |
| Time invested | 76% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 17 of 27 closed calls (63%). In calls averaged +23.1%; out calls saw WCN move +1.0% on average.
| Called | Call | Price | Until | WCN moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | OUT | C$226.33 | now | −1.4% | open |
| Dec 31, 2025 | IN | C$239.17 | Jan 30, 2026 | −5.4% | ✕ wrong |
| Nov 28, 2025 | OUT | C$246.51 | Dec 31, 2025 | −3.0% | ✓ right |
| Dec 29, 2023 | IN | C$193.89 | Nov 28, 2025 | +27.1% | ✓ right |
| Nov 30, 2023 | OUT | C$180.11 | Dec 29, 2023 | +7.7% | ✕ wrong |
| Oct 31, 2023 | IN | C$175.58 | Nov 30, 2023 | +2.6% | ✓ right |
| Sep 29, 2023 | OUT | C$178.33 | Oct 31, 2023 | −1.5% | ✓ right |
| Mar 31, 2021 | IN | C$130.44 | Sep 29, 2023 | +36.7% | ✓ right |
| Feb 26, 2021 | OUT | C$119.15 | Mar 31, 2021 | +9.5% | ✕ wrong |
| Jun 30, 2020 | IN | C$121.49 | Feb 26, 2021 | −1.9% | ✕ wrong |
| Apr 30, 2020 | OUT | C$114.14 | Jun 30, 2020 | +6.4% | ✕ wrong |
| Feb 29, 2016 | IN | C$50.49 | Apr 30, 2020 | +126.1% | ✓ 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 28 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.