Momentum · month-end rule · Real estate
12-1 Momentum on RioCan REIT
What the play says
Latest reading: 12-1 return 15.9%
REI.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 REI.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +4.2% | +6.7% | +1.9% | +4.0% |
| Total return | +141% | +308% | +10% | +22% |
| Worst drawdown | −54.9% | −54.9% | −33.8% | −31.1% |
| Volatility | 16.1% | 22.2% | 13.8% | 18.5% |
| Sharpe ratio | 0.23 | 0.33 | −0.07 | 0.10 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.0 | 0 |
Every call, graded
Right on 11 of 22 closed calls (50%). In calls averaged +8.1%; out calls saw REI.UN move +6.7% on average.
| Called | Call | Price | Until | REI.UN moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$17.82 | now | +16.1% | open |
| Sep 30, 2025 | OUT | C$17.90 | Oct 31, 2025 | −0.4% | ✓ right |
| Sep 30, 2024 | IN | C$18.08 | Sep 30, 2025 | −1.0% | ✕ wrong |
| Oct 31, 2023 | OUT | C$14.13 | Sep 30, 2024 | +27.9% | ✕ wrong |
| Aug 31, 2023 | IN | C$16.03 | Oct 31, 2023 | −11.8% | ✕ wrong |
| Jul 31, 2023 | OUT | C$16.56 | Aug 31, 2023 | −3.3% | ✓ right |
| Jun 30, 2023 | IN | C$15.86 | Jul 31, 2023 | +4.5% | ✓ right |
| Jul 29, 2022 | OUT | C$16.12 | Jun 30, 2023 | −1.7% | ✓ right |
| Mar 31, 2021 | IN | C$14.40 | Jul 29, 2022 | +12.0% | ✓ right |
| Mar 31, 2020 | OUT | C$10.99 | Mar 31, 2021 | +31.0% | ✕ wrong |
| Jun 29, 2018 | IN | C$14.87 | Mar 31, 2020 | −26.1% | ✕ wrong |
| May 31, 2017 | OUT | C$14.61 | Jun 29, 2018 | +1.8% | ✕ 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 23 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.