Momentum · month-end rule · Real estate
12-1 Momentum on Colliers International
What the play says
Latest reading: 12-1 return −35.9%
CIGI 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 CIGI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.5% | +11.1% | −2.9% | −6.4% |
| Total return | +479% | +875% | −13% | −28% |
| Worst drawdown | −56.6% | −75.5% | −36.4% | −48.2% |
| Volatility | 25.4% | 32.9% | 23.5% | 31.8% |
| Sharpe ratio | 0.38 | 0.43 | −0.17 | −0.17 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 14 of 31 closed calls (45%). In calls averaged +15.9%; out calls saw CIGI move +6.2% on average.
| Called | Call | Price | Until | CIGI moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | OUT | C$148.49 | now | −17.4% | open |
| Feb 27, 2026 | IN | C$161.53 | Mar 31, 2026 | −8.1% | ✕ wrong |
| Jan 30, 2026 | OUT | C$185.76 | Feb 27, 2026 | −13.0% | ✓ right |
| Aug 29, 2025 | IN | C$226.16 | Jan 30, 2026 | −17.9% | ✕ wrong |
| Jul 31, 2025 | OUT | C$208.40 | Aug 29, 2025 | +8.5% | ✕ wrong |
| Mar 28, 2024 | IN | C$164.54 | Jul 31, 2025 | +26.7% | ✓ right |
| Feb 29, 2024 | OUT | C$156.95 | Mar 28, 2024 | +4.8% | ✕ wrong |
| Dec 29, 2023 | IN | C$166.56 | Feb 29, 2024 | −5.8% | ✕ wrong |
| Nov 30, 2023 | OUT | C$140.16 | Dec 29, 2023 | +18.8% | ✕ wrong |
| Sep 29, 2023 | IN | C$128.40 | Nov 30, 2023 | +9.2% | ✓ right |
| May 31, 2023 | OUT | C$125.31 | Sep 29, 2023 | +2.5% | ✕ wrong |
| Apr 28, 2023 | IN | C$142.79 | May 31, 2023 | −12.2% | ✕ 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.