Momentum · month-end rule · Real estate
12-1 Momentum on Crombie REIT
What the play says
Latest reading: 12-1 return 13.7%
CRR.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 2007
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding CRR.UN over exactly the same dates, after costs.
| Play, since 2007 | Hold, since 2007 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.8% | +7.6% | +5.1% | +3.3% |
| Total return | +198% | +312% | +28% | +17% |
| Worst drawdown | −41.7% | −56.2% | −17.9% | −31.1% |
| Volatility | 15.0% | 20.9% | 12.9% | 18.6% |
| Sharpe ratio | 0.35 | 0.38 | 0.16 | 0.06 |
| Time invested | 67% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 6 of 18 closed calls (33%). In calls averaged +10.8%; out calls saw CRR.UN move +5.2% on average.
| Called | Call | Price | Until | CRR.UN moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$13.02 | now | +21.8% | open |
| Jul 29, 2022 | OUT | C$12.87 | Aug 30, 2024 | +1.2% | ✕ wrong |
| Feb 26, 2021 | IN | C$10.54 | Jul 29, 2022 | +22.1% | ✓ right |
| Apr 30, 2020 | OUT | C$8.88 | Feb 26, 2021 | +18.7% | ✕ wrong |
| Feb 28, 2019 | IN | C$9.07 | Apr 30, 2020 | −2.1% | ✕ wrong |
| Jan 31, 2019 | OUT | C$8.90 | Feb 28, 2019 | +1.9% | ✕ wrong |
| Aug 31, 2018 | IN | C$8.34 | Jan 31, 2019 | +6.6% | ✓ right |
| Mar 29, 2018 | OUT | C$7.72 | Aug 31, 2018 | +8.1% | ✕ wrong |
| Oct 31, 2017 | IN | C$8.00 | Mar 29, 2018 | −3.5% | ✕ wrong |
| Jun 30, 2017 | OUT | C$8.21 | Oct 31, 2017 | −2.6% | ✓ right |
| Jul 31, 2015 | IN | C$6.57 | Jun 30, 2017 | +24.9% | ✓ right |
| Jun 30, 2015 | OUT | C$6.44 | Jul 31, 2015 | +2.1% | ✕ 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.