Momentum · month-end rule · Real estate
12-1 Momentum on Choice Properties REIT
What the play says
Latest reading: 12-1 return 8.6%
CHP.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 2014
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CHP.UN over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.0% | +8.3% | +1.1% | +5.4% |
| Total return | +62% | +164% | +5% | +30% |
| Worst drawdown | −29.7% | −28.8% | −26.8% | −21.3% |
| Volatility | 14.9% | 17.1% | 14.9% | 16.8% |
| Sharpe ratio | 0.20 | 0.43 | −0.11 | 0.17 |
| Time invested | 77% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 7 of 18 closed calls (39%). In calls averaged +4.3%; out calls saw CHP.UN move +6.6% on average.
| Called | Call | Price | Until | CHP.UN moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$13.22 | now | +12.2% | open |
| Jun 28, 2024 | OUT | C$11.42 | Aug 30, 2024 | +15.8% | ✕ wrong |
| May 31, 2024 | IN | C$11.24 | Jun 28, 2024 | +1.6% | ✓ right |
| Nov 30, 2023 | OUT | C$11.32 | May 31, 2024 | −0.8% | ✓ right |
| Aug 31, 2023 | IN | C$11.11 | Nov 30, 2023 | +1.9% | ✓ right |
| Jul 31, 2023 | OUT | C$11.73 | Aug 31, 2023 | −5.3% | ✓ right |
| Dec 30, 2022 | IN | C$12.07 | Jul 31, 2023 | −2.8% | ✕ wrong |
| Sep 30, 2022 | OUT | C$10.16 | Dec 30, 2022 | +18.8% | ✕ wrong |
| Feb 26, 2021 | IN | C$9.46 | Sep 30, 2022 | +7.4% | ✓ right |
| Jan 29, 2021 | OUT | C$9.57 | Feb 26, 2021 | −1.1% | ✓ right |
| Dec 31, 2020 | IN | C$9.58 | Jan 29, 2021 | −0.1% | ✕ wrong |
| Apr 30, 2020 | OUT | C$9.00 | Dec 31, 2020 | +6.4% | ✕ 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 19 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.