Momentum · month-end rule · Real estate
12-1 Momentum on SmartCentres REIT
What the play says
Latest reading: 12-1 return 9.2%
SRU.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 SRU.UN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.4% | +8.6% | +4.2% | +4.1% |
| Total return | +465% | +488% | +23% | +22% |
| Worst drawdown | −22.4% | −68.2% | −19.7% | −28.9% |
| Volatility | 13.4% | 22.7% | 11.7% | 16.2% |
| Sharpe ratio | 0.53 | 0.40 | 0.08 | 0.09 |
| Time invested | 66% | 100% | ||
| Switches per year | 0.7 | 0 |
Every call, graded
Right on 9 of 16 closed calls (56%). In calls averaged +22.4%; out calls saw SRU.UN move +2.5% on average.
| Called | Call | Price | Until | SRU.UN moved | Result |
|---|---|---|---|---|---|
| Aug 30, 2024 | IN | C$22.09 | now | +19.7% | open |
| Sep 30, 2022 | OUT | C$19.42 | Aug 30, 2024 | +13.7% | ✕ wrong |
| Aug 31, 2022 | IN | C$20.80 | Sep 30, 2022 | −6.7% | ✕ wrong |
| Jul 29, 2022 | OUT | C$21.61 | Aug 31, 2022 | −3.8% | ✓ right |
| Mar 31, 2021 | IN | C$18.31 | Jul 29, 2022 | +18.1% | ✓ right |
| Jan 31, 2020 | OUT | C$19.45 | Mar 31, 2021 | −5.9% | ✓ right |
| Jul 31, 2018 | IN | C$17.27 | Jan 31, 2020 | +12.6% | ✓ right |
| Feb 28, 2018 | OUT | C$16.33 | Jul 31, 2018 | +5.8% | ✕ wrong |
| Jan 31, 2018 | IN | C$16.72 | Feb 28, 2018 | −2.3% | ✕ wrong |
| May 31, 2017 | OUT | C$16.38 | Jan 31, 2018 | +2.1% | ✕ wrong |
| Feb 29, 2016 | IN | C$16.09 | May 31, 2017 | +1.8% | ✓ right |
| Jan 29, 2016 | OUT | C$15.41 | Feb 29, 2016 | +4.4% | ✕ 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 17 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.