Momentum · month-end rule · Real estate
12-1 Momentum on Killam Apartment REIT
What the play says
Latest reading: 12-1 return 3.6%
KMP.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 KMP.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.5% | +7.8% | −5.3% | −1.3% |
| Total return | +219% | +404% | −24% | −6% |
| Worst drawdown | −40.3% | −65.5% | −32.9% | −35.6% |
| Volatility | 18.2% | 23.9% | 15.1% | 19.9% |
| Sharpe ratio | 0.29 | 0.36 | −0.54 | −0.16 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 12 of 33 closed calls (36%). In calls averaged +11.3%; out calls saw KMP.UN move +3.9% on average.
| Called | Call | Price | Until | KMP.UN moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2026 | IN | C$18.46 | now | −6.9% | open |
| Apr 30, 2026 | OUT | C$16.75 | Jul 31, 2026 | +10.2% | ✕ wrong |
| Dec 31, 2025 | IN | C$15.90 | Apr 30, 2026 | +5.3% | ✓ right |
| Aug 29, 2025 | OUT | C$17.18 | Dec 31, 2025 | −7.4% | ✓ right |
| Apr 30, 2025 | IN | C$16.44 | Aug 29, 2025 | +4.5% | ✓ right |
| Jan 31, 2025 | OUT | C$15.44 | Apr 30, 2025 | +6.5% | ✕ wrong |
| Aug 30, 2024 | IN | C$18.31 | Jan 31, 2025 | −15.7% | ✕ wrong |
| Jul 31, 2024 | OUT | C$16.98 | Aug 30, 2024 | +7.9% | ✕ wrong |
| Dec 29, 2023 | IN | C$16.09 | Jul 31, 2024 | +5.5% | ✓ right |
| Nov 30, 2023 | OUT | C$15.29 | Dec 29, 2023 | +5.2% | ✕ wrong |
| Jun 30, 2023 | IN | C$15.50 | Nov 30, 2023 | −1.4% | ✕ wrong |
| Jun 30, 2022 | OUT | C$14.44 | Jun 30, 2023 | +7.3% | ✕ 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 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.