Momentum · month-end rule · Real estate
12-1 Momentum on Canadian Apartment Properties REIT
What the play says
Latest reading: 12-1 return −17.0%
CAR.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 CAR.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.7% | +8.5% | −6.1% | −8.8% |
| Total return | +402% | +480% | −27% | −37% |
| Worst drawdown | −46.6% | −41.1% | −39.3% | −39.1% |
| Volatility | 16.9% | 21.9% | 13.3% | 21.2% |
| Sharpe ratio | 0.42 | 0.40 | −0.69 | −0.51 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 13 of 31 closed calls (42%). In calls averaged +13.1%; out calls saw CAR.UN move +4.3% on average.
| Called | Call | Price | Until | CAR.UN moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | OUT | C$42.26 | now | −26.0% | open |
| Jun 30, 2025 | IN | C$42.29 | Jul 31, 2025 | −0.1% | ✕ wrong |
| May 30, 2025 | OUT | C$42.50 | Jun 30, 2025 | −0.5% | ✓ right |
| Apr 30, 2025 | IN | C$39.86 | May 30, 2025 | +6.6% | ✓ right |
| Dec 31, 2024 | OUT | C$39.86 | Apr 30, 2025 | +0.0% | ✕ wrong |
| Aug 30, 2024 | IN | C$47.24 | Dec 31, 2024 | −15.6% | ✕ wrong |
| Apr 30, 2024 | OUT | C$38.24 | Aug 30, 2024 | +23.5% | ✕ wrong |
| Mar 28, 2024 | IN | C$41.38 | Apr 30, 2024 | −7.6% | ✕ wrong |
| Feb 29, 2024 | OUT | C$42.26 | Mar 28, 2024 | −2.1% | ✓ right |
| Dec 29, 2023 | IN | C$43.10 | Feb 29, 2024 | −1.9% | ✕ wrong |
| Nov 30, 2023 | OUT | C$40.42 | Dec 29, 2023 | +6.6% | ✕ wrong |
| May 31, 2023 | IN | C$42.22 | Nov 30, 2023 | −4.3% | ✕ 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.