Momentum · month-end rule · Real estate
12-1 Momentum on Boardwalk REIT
What the play says
Latest reading: 12-1 return −5.2%
BEI.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 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding BEI.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.6% | +11.0% | +3.8% | +6.5% |
| Total return | +225% | +846% | +20% | +37% |
| Worst drawdown | −79.5% | −71.3% | −33.4% | −33.4% |
| Volatility | 20.7% | 26.9% | 17.9% | 20.7% |
| Sharpe ratio | 0.28 | 0.46 | 0.08 | 0.22 |
| Time invested | 61% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 15 of 31 closed calls (48%). In calls averaged +14.2%; out calls saw BEI.UN move +9.3% on average.
| Called | Call | Price | Until | BEI.UN moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2026 | OUT | C$64.30 | now | −5.9% | open |
| Dec 31, 2025 | IN | C$63.18 | Jun 30, 2026 | +1.8% | ✓ right |
| Jul 31, 2025 | OUT | C$67.77 | Dec 31, 2025 | −6.8% | ✓ right |
| Jun 30, 2025 | IN | C$66.27 | Jul 31, 2025 | +2.3% | ✓ right |
| Jan 31, 2025 | OUT | C$58.73 | Jun 30, 2025 | +12.8% | ✕ wrong |
| Feb 28, 2023 | IN | C$53.37 | Jan 31, 2025 | +10.0% | ✓ right |
| Oct 31, 2022 | OUT | C$43.53 | Feb 28, 2023 | +22.6% | ✕ wrong |
| Aug 31, 2022 | IN | C$43.12 | Oct 31, 2022 | +1.0% | ✓ right |
| Jul 29, 2022 | OUT | C$43.52 | Aug 31, 2022 | −0.9% | ✓ right |
| Mar 31, 2021 | IN | C$31.44 | Jul 29, 2022 | +38.4% | ✓ right |
| Apr 30, 2020 | OUT | C$22.37 | Mar 31, 2021 | +40.6% | ✕ wrong |
| Nov 29, 2019 | IN | C$40.33 | Apr 30, 2020 | −44.5% | ✕ 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 32 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.