[kqr]

Ideally, yes. I read too quickly and assumed that these were annualised monthly measurements.

However -- the technique might work anyway: the signal would be smaller, but so should the variation. Yes, one decreases as the square root and the other does not, but over just 12 months that might not make a big difference.

Only backtesting or a more thorough theoretical investigation can tell!

Edit: actually it doesn't have to be very thorough at all, it's a factor of 3. Probably important!