Momentum · month-end rule · Real estate
12-1 Momentum on H&R REIT
What the play says
Latest reading: 12-1 return −7.7%
HR.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 HR.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.1% | +3.3% | −5.5% | −1.5% |
| Total return | +137% | +101% | −24% | −7% |
| Worst drawdown | −48.4% | −81.0% | −48.4% | −35.8% |
| Volatility | 15.7% | 27.8% | 19.3% | 23.3% |
| Sharpe ratio | 0.22 | 0.19 | −0.39 | −0.11 |
| Time invested | 65% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 16 of 33 closed calls (48%). In calls averaged +7.0%; out calls saw HR.UN move +1.7% on average.
| Called | Call | Price | Until | HR.UN moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | OUT | C$11.02 | now | −11.3% | open |
| Feb 28, 2025 | IN | C$9.31 | Jul 31, 2026 | +18.4% | ✓ right |
| Jan 31, 2025 | OUT | C$8.59 | Feb 28, 2025 | +8.3% | ✕ wrong |
| Sep 30, 2024 | IN | C$10.85 | Jan 31, 2025 | −20.8% | ✕ wrong |
| Oct 31, 2023 | OUT | C$7.59 | Sep 30, 2024 | +42.9% | ✕ wrong |
| Sep 29, 2023 | IN | C$8.17 | Oct 31, 2023 | −7.1% | ✕ wrong |
| May 31, 2023 | OUT | C$8.80 | Sep 29, 2023 | −7.2% | ✓ right |
| Feb 28, 2023 | IN | C$11.24 | May 31, 2023 | −21.8% | ✕ wrong |
| Jan 31, 2023 | OUT | C$11.12 | Feb 28, 2023 | +1.1% | ✕ wrong |
| Dec 30, 2022 | IN | C$10.31 | Jan 31, 2023 | +7.8% | ✓ right |
| Oct 31, 2022 | OUT | C$9.44 | Dec 30, 2022 | +9.2% | ✕ wrong |
| Aug 31, 2022 | IN | C$10.59 | Oct 31, 2022 | −10.9% | ✕ 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 34 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.