Momentum · month-end rule · Real estate
12-1 Momentum on Altus Group
What the play says
Latest reading: 12-1 return −20.2%
AIF 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 2009
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding AIF over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.8% | +14.1% | −10.3% | −4.5% |
| Total return | +482% | +852% | −42% | −20% |
| Worst drawdown | −51.9% | −80.2% | −51.9% | −46.1% |
| Volatility | 23.8% | 34.1% | 19.0% | 33.2% |
| Sharpe ratio | 0.49 | 0.51 | −0.67 | −0.08 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 9 of 24 closed calls (38%). In calls averaged +23.6%; out calls saw AIF move +5.9% on average.
| Called | Call | Price | Until | AIF moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | OUT | C$45.74 | now | +5.2% | open |
| Dec 31, 2025 | IN | C$56.15 | Jan 30, 2026 | −18.5% | ✕ wrong |
| Nov 28, 2025 | OUT | C$54.94 | Dec 31, 2025 | +2.2% | ✕ wrong |
| Aug 29, 2025 | IN | C$60.68 | Nov 28, 2025 | −9.5% | ✕ wrong |
| Jul 31, 2025 | OUT | C$56.98 | Aug 29, 2025 | +6.5% | ✕ wrong |
| May 31, 2024 | IN | C$45.62 | Jul 31, 2025 | +24.9% | ✓ right |
| Oct 31, 2023 | OUT | C$45.44 | May 31, 2024 | +0.4% | ✕ wrong |
| Sep 29, 2023 | IN | C$45.37 | Oct 31, 2023 | +0.2% | ✓ right |
| Jun 30, 2023 | OUT | C$42.25 | Sep 29, 2023 | +7.4% | ✕ wrong |
| Feb 28, 2023 | IN | C$58.31 | Jun 30, 2023 | −27.5% | ✕ wrong |
| Mar 31, 2022 | OUT | C$47.82 | Feb 28, 2023 | +21.9% | ✕ wrong |
| Jun 28, 2019 | IN | C$29.36 | Mar 31, 2022 | +62.9% | ✓ 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 25 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.