Momentum · month-end rule · Real estate
12-1 Momentum on Dream Industrial REIT
What the play says
Latest reading: 12-1 return 14.8%
DIR.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 2013
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding DIR.UN over exactly the same dates, after costs.
| Play, since 2013 | Hold, since 2013 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.4% | +9.8% | −6.8% | +0.3% |
| Total return | +36% | +233% | −30% | +2% |
| Worst drawdown | −51.0% | −51.0% | −41.3% | −37.7% |
| Volatility | 18.0% | 21.8% | 15.4% | 21.5% |
| Sharpe ratio | 0.12 | 0.45 | −0.63 | −0.05 |
| Time invested | 65% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 3 of 15 closed calls (20%). In calls averaged +4.6%; out calls saw DIR.UN move +13.6% on average.
| Called | Call | Price | Until | DIR.UN moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | IN | C$11.92 | now | +7.3% | open |
| Dec 31, 2024 | OUT | C$10.70 | Nov 28, 2025 | +11.4% | ✕ wrong |
| Aug 30, 2024 | IN | C$12.14 | Dec 31, 2024 | −11.8% | ✕ wrong |
| Feb 29, 2024 | OUT | C$11.01 | Aug 30, 2024 | +10.3% | ✕ wrong |
| Apr 28, 2023 | IN | C$12.30 | Feb 29, 2024 | −10.5% | ✕ wrong |
| Jun 30, 2022 | OUT | C$9.56 | Apr 28, 2023 | +28.7% | ✕ wrong |
| Feb 26, 2021 | IN | C$9.58 | Jun 30, 2022 | −0.3% | ✕ wrong |
| Jan 29, 2021 | OUT | C$9.39 | Feb 26, 2021 | +2.0% | ✕ wrong |
| Dec 31, 2020 | IN | C$9.70 | Jan 29, 2021 | −3.1% | ✕ wrong |
| Apr 30, 2020 | OUT | C$7.20 | Dec 31, 2020 | +34.6% | ✕ wrong |
| May 31, 2016 | IN | C$4.32 | Apr 30, 2020 | +66.6% | ✓ right |
| Jan 29, 2016 | OUT | C$3.73 | May 31, 2016 | +15.9% | ✕ 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 16 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.