Momentum · month-end rule · Real estate
12-1 Momentum on Chartwell Retirement Residences
What the play says
Latest reading: 12-1 return 5.0%
CSH.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 CSH.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.8% | +7.7% | +19.7% | +16.0% |
| Total return | +403% | +397% | +145% | +109% |
| Worst drawdown | −35.8% | −79.5% | −16.2% | −39.8% |
| Volatility | 17.0% | 27.6% | 17.3% | 21.3% |
| Sharpe ratio | 0.42 | 0.34 | 0.91 | 0.63 |
| Time invested | 71% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 11 of 26 closed calls (42%). In calls averaged +8.0%; out calls saw CSH.UN move +1.5% on average.
| Called | Call | Price | Until | CSH.UN moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2023 | IN | C$9.11 | now | +114.2% | open |
| May 31, 2022 | OUT | C$10.14 | Aug 31, 2023 | −10.2% | ✓ right |
| Mar 31, 2021 | IN | C$9.04 | May 31, 2022 | +12.2% | ✓ right |
| Jan 31, 2020 | OUT | C$10.13 | Mar 31, 2021 | −10.8% | ✓ right |
| Jul 31, 2019 | IN | C$10.84 | Jan 31, 2020 | −6.5% | ✕ wrong |
| Jun 28, 2019 | OUT | C$10.69 | Jul 31, 2019 | +1.4% | ✕ wrong |
| Apr 30, 2019 | IN | C$10.25 | Jun 28, 2019 | +4.3% | ✓ right |
| Oct 31, 2018 | OUT | C$9.66 | Apr 30, 2019 | +6.1% | ✕ wrong |
| Jul 31, 2018 | IN | C$10.37 | Oct 31, 2018 | −6.8% | ✕ wrong |
| May 31, 2018 | OUT | C$9.76 | Jul 31, 2018 | +6.2% | ✕ wrong |
| Oct 31, 2017 | IN | C$10.10 | May 31, 2018 | −3.3% | ✕ wrong |
| Sep 29, 2017 | OUT | C$9.77 | Oct 31, 2017 | +3.3% | ✕ 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 27 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.