Momentum · month-end rule · Real estate
12-1 Momentum on Granite REIT
What the play says
Latest reading: 12-1 return 18.9%
GRT.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 2006
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding GRT.UN over exactly the same dates, after costs.
| Play, since 2006 | Hold, since 2006 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.7% | +8.3% | −0.6% | +1.7% |
| Total return | +368% | +418% | −3% | +9% |
| Worst drawdown | −44.9% | −87.9% | −37.2% | −37.8% |
| Volatility | 20.8% | 28.6% | 16.5% | 22.0% |
| Sharpe ratio | 0.38 | 0.36 | −0.18 | 0.02 |
| Time invested | 74% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 28 closed calls (36%). In calls averaged +16.7%; out calls saw GRT.UN move +3.7% on average.
| Called | Call | Price | Until | GRT.UN moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | C$74.25 | now | +13.0% | open |
| Jul 31, 2025 | OUT | C$69.67 | Sep 30, 2025 | +6.6% | ✕ wrong |
| Jun 30, 2025 | IN | C$65.69 | Jul 31, 2025 | +6.1% | ✓ right |
| May 30, 2025 | OUT | C$66.48 | Jun 30, 2025 | −1.2% | ✓ right |
| Apr 30, 2025 | IN | C$59.57 | May 30, 2025 | +11.6% | ✓ right |
| Mar 31, 2025 | OUT | C$62.87 | Apr 30, 2025 | −5.3% | ✓ right |
| Aug 30, 2024 | IN | C$69.85 | Mar 31, 2025 | −10.0% | ✕ wrong |
| Jan 31, 2024 | OUT | C$64.34 | Aug 30, 2024 | +8.6% | ✕ wrong |
| Dec 29, 2023 | IN | C$67.50 | Jan 31, 2024 | −4.7% | ✕ wrong |
| Nov 30, 2023 | OUT | C$60.58 | Dec 29, 2023 | +11.4% | ✕ wrong |
| Jun 30, 2023 | IN | C$67.83 | Nov 30, 2023 | −10.7% | ✕ wrong |
| Jul 29, 2022 | OUT | C$67.30 | Jun 30, 2023 | +0.8% | ✕ 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 29 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.