Momentum · month-end rule · Real estate
12-1 Momentum on Vital Infrastructure Property Trust
What the play says
Latest reading: 12-1 return 9.8%
VITL.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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding VITL.UN over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +2.9% | +1.6% | −1.3% | −11.1% |
| Total return | +56% | +27% | −6% | −44% |
| Worst drawdown | −49.9% | −68.6% | −30.9% | −68.6% |
| Volatility | 17.0% | 22.5% | 15.4% | 26.3% |
| Sharpe ratio | 0.16 | 0.11 | −0.26 | −0.46 |
| Time invested | 66% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 10 of 22 closed calls (45%). In calls averaged +3.3%; out calls saw VITL.UN move +0.3% on average.
| Called | Call | Price | Until | VITL.UN moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | C$4.77 | now | +7.3% | open |
| Aug 29, 2025 | OUT | C$4.66 | Oct 31, 2025 | +2.4% | ✕ wrong |
| Feb 28, 2025 | IN | C$4.36 | Aug 29, 2025 | +6.9% | ✓ right |
| Jan 31, 2025 | OUT | C$4.03 | Feb 28, 2025 | +8.2% | ✕ wrong |
| Sep 30, 2024 | IN | C$4.94 | Jan 31, 2025 | −18.4% | ✕ wrong |
| Oct 31, 2022 | OUT | C$7.93 | Sep 30, 2024 | −37.7% | ✓ right |
| Aug 31, 2022 | IN | C$9.14 | Oct 31, 2022 | −13.3% | ✕ wrong |
| Jul 29, 2022 | OUT | C$9.54 | Aug 31, 2022 | −4.1% | ✓ right |
| Dec 31, 2020 | IN | C$8.29 | Jul 29, 2022 | +15.0% | ✓ right |
| Nov 30, 2020 | OUT | C$7.97 | Dec 31, 2020 | +4.0% | ✕ wrong |
| Aug 31, 2020 | IN | C$7.61 | Nov 30, 2020 | +4.8% | ✓ right |
| Apr 30, 2020 | OUT | C$6.13 | Aug 31, 2020 | +24.1% | ✕ 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.