Momentum · month-end rule · Real estate
12-1 Momentum on Allied Properties REIT
What the play says
Latest reading: 12-1 return −55.9%
AP.UN 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 AP.UN over exactly the same dates, after costs.
| Play, since 2009 | Hold, since 2009 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.4% | −0.2% | −6.0% | −26.6% |
| Total return | +148% | −4% | −26% | −79% |
| Worst drawdown | −51.5% | −84.2% | −42.7% | −82.1% |
| Volatility | 17.7% | 24.5% | 16.1% | 31.4% |
| Sharpe ratio | 0.31 | 0.06 | −0.54 | −0.94 |
| Time invested | 69% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 4 of 14 closed calls (29%). In calls averaged +20.7%; out calls saw AP.UN move +1.0% on average.
| Called | Call | Price | Until | AP.UN moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | C$12.24 | now | −53.0% | open |
| Jun 30, 2025 | IN | C$15.44 | Nov 28, 2025 | −20.7% | ✕ wrong |
| May 30, 2025 | OUT | C$14.07 | Jun 30, 2025 | +9.7% | ✕ wrong |
| Feb 28, 2025 | IN | C$14.66 | May 30, 2025 | −4.0% | ✕ wrong |
| Dec 31, 2024 | OUT | C$14.61 | Feb 28, 2025 | +0.3% | ✕ wrong |
| Sep 30, 2024 | IN | C$16.80 | Dec 31, 2024 | −13.0% | ✕ wrong |
| May 31, 2022 | OUT | C$25.85 | Sep 30, 2024 | −35.0% | ✓ right |
| May 31, 2021 | IN | C$28.41 | May 31, 2022 | −9.0% | ✕ wrong |
| Apr 30, 2020 | OUT | C$27.25 | May 31, 2021 | +4.3% | ✕ wrong |
| May 31, 2016 | IN | C$19.31 | Apr 30, 2020 | +41.1% | ✓ right |
| Nov 30, 2015 | OUT | C$17.04 | May 31, 2016 | +13.3% | ✕ wrong |
| Mar 31, 2014 | IN | C$16.79 | Nov 30, 2015 | +1.5% | ✓ 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 15 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.