Momentum · month-end rule · Real estate
12-1 Momentum on CT REIT
What the play says
Latest reading: 12-1 return 11.9%
CRT.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 CRT.UN over exactly the same dates, after costs.
| Play, since 2014 | Hold, since 2014 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.5% | +9.2% | +2.0% | +5.5% |
| Total return | +69% | +186% | +10% | +31% |
| Worst drawdown | −45.9% | −45.9% | −24.6% | −24.7% |
| Volatility | 16.9% | 19.8% | 13.4% | 17.7% |
| Sharpe ratio | 0.23 | 0.44 | −0.07 | 0.18 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 5 of 16 closed calls (31%). In calls averaged +3.6%; out calls saw CRT.UN move +8.9% on average.
| Called | Call | Price | Until | CRT.UN moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$13.65 | now | +26.0% | open |
| Oct 31, 2023 | OUT | C$10.61 | Aug 30, 2024 | +28.7% | ✕ wrong |
| Sep 29, 2023 | IN | C$11.41 | Oct 31, 2023 | −7.0% | ✕ wrong |
| Mar 31, 2023 | OUT | C$12.97 | Sep 29, 2023 | −12.0% | ✓ right |
| Feb 28, 2023 | IN | C$13.45 | Mar 31, 2023 | −3.6% | ✕ wrong |
| Sep 30, 2022 | OUT | C$11.82 | Feb 28, 2023 | +13.8% | ✕ wrong |
| Jan 29, 2021 | IN | C$11.26 | Sep 30, 2022 | +4.9% | ✓ right |
| Apr 30, 2020 | OUT | C$8.99 | Jan 29, 2021 | +25.2% | ✕ wrong |
| Feb 28, 2019 | IN | C$8.87 | Apr 30, 2020 | +1.4% | ✓ right |
| Oct 31, 2018 | OUT | C$8.32 | Feb 28, 2019 | +6.7% | ✕ wrong |
| Aug 31, 2018 | IN | C$8.52 | Oct 31, 2018 | −2.3% | ✕ wrong |
| Feb 28, 2018 | OUT | C$8.01 | Aug 31, 2018 | +6.3% | ✕ 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 17 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.