Momentum · month-end rule · Real estate
12-1 Momentum on FirstService
What the play says
Latest reading: 12-1 return −26.8%
FSV 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding FSV over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.6% | +12.0% | −3.5% | −4.0% |
| Total return | +183% | +221% | −16% | −18% |
| Worst drawdown | −42.8% | −42.8% | −33.7% | −42.6% |
| Volatility | 22.5% | 26.2% | 16.8% | 24.9% |
| Sharpe ratio | 0.46 | 0.47 | −0.35 | −0.19 |
| Time invested | 79% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 5 of 11 closed calls (45%). In calls averaged +22.5%; out calls saw FSV move +7.3% on average.
| Called | Call | Price | Until | FSV moved | Result |
|---|---|---|---|---|---|
| Nov 28, 2025 | OUT | C$217.87 | now | −14.6% | open |
| Aug 29, 2025 | IN | C$273.74 | Nov 28, 2025 | −20.4% | ✕ wrong |
| Jul 31, 2025 | OUT | C$270.41 | Aug 29, 2025 | +1.2% | ✕ wrong |
| Jul 31, 2024 | IN | C$236.91 | Jul 31, 2025 | +14.1% | ✓ right |
| Jun 28, 2024 | OUT | C$204.90 | Jul 31, 2024 | +15.6% | ✕ wrong |
| Feb 28, 2023 | IN | C$182.40 | Jun 28, 2024 | +12.3% | ✓ right |
| Mar 31, 2022 | OUT | C$175.43 | Feb 28, 2023 | +4.0% | ✕ wrong |
| Aug 31, 2020 | IN | C$157.06 | Mar 31, 2022 | +11.7% | ✓ right |
| Jul 31, 2020 | OUT | C$154.17 | Aug 31, 2020 | +1.9% | ✕ wrong |
| Jun 30, 2020 | IN | C$131.60 | Jul 31, 2020 | +17.1% | ✓ right |
| Apr 30, 2020 | OUT | C$115.62 | Jun 30, 2020 | +13.8% | ✕ wrong |
| May 31, 2016 | IN | C$57.85 | Apr 30, 2020 | +99.8% | ✓ right |
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 12 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.