Momentum · month-end rule · Real estate
12-1 Momentum on Primaris REIT
What the play says
Latest reading: 12-1 return 45.9%
PMZ.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 2023
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding PMZ.UN over exactly the same dates, after costs.
| Play, since 2023 | Hold, since 2023 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.0% | +15.7% | +14.0% | +15.7% |
| Total return | +62% | +71% | +62% | +71% |
| Worst drawdown | −21.2% | −21.2% | −21.2% | −21.2% |
| Volatility | 17.8% | 18.9% | 17.8% | 18.9% |
| Sharpe ratio | 0.57 | 0.63 | 0.57 | 0.63 |
| Time invested | 89% | 100% | ||
| Switches per year | 1.1 | 0 |
Every call, graded
Right on 1 of 4 closed calls (25%). In calls averaged +6.0%; out calls saw PMZ.UN move +3.7% on average.
| Called | Call | Price | Until | PMZ.UN moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$14.73 | now | +47.4% | open |
| Sep 30, 2025 | OUT | C$14.61 | Oct 31, 2025 | +0.8% | ✕ wrong |
| Mar 28, 2024 | IN | C$12.19 | Sep 30, 2025 | +19.9% | ✓ right |
| Nov 30, 2023 | OUT | C$11.43 | Mar 28, 2024 | +6.6% | ✕ wrong |
| Jan 31, 2023 | IN | C$12.42 | Nov 30, 2023 | −8.0% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 5 of 5 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.