Momentum · month-end rule · Semiconductors
12-1 Momentum on Analog Devices
What the play says
Latest reading: 12-1 return 48.8%
ADI 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 $10,000 since 2005
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ADI over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +11.5% | +14.5% | +17.4% | +22.5% |
| Total return | +966% | +1,785% | +122% | +174% |
| Worst drawdown | −33.6% | −58.9% | −32.2% | −32.2% |
| Volatility | 25.9% | 31.4% | 31.2% | 34.1% |
| Sharpe ratio | 0.48 | 0.53 | 0.55 | 0.65 |
| Time invested | 75% | 100% | ||
| Switches per year | 1.5 | 0 |
Every call, graded
Right on 18 of 33 closed calls (55%). In calls averaged +13.3%; out calls saw ADI move +4.5% on average.
| Called | Call | Price | Until | ADI moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | $242.66 | now | +70.9% | open |
| Aug 29, 2025 | OUT | $247.23 | Sep 30, 2025 | −1.8% | ✓ right |
| Jul 31, 2025 | IN | $220.98 | Aug 29, 2025 | +11.9% | ✓ right |
| May 30, 2025 | OUT | $209.55 | Jul 31, 2025 | +5.5% | ✕ wrong |
| Apr 30, 2024 | IN | $193.25 | May 30, 2025 | +8.4% | ✓ right |
| Mar 28, 2024 | OUT | $190.53 | Apr 30, 2024 | +1.4% | ✕ wrong |
| Dec 29, 2023 | IN | $190.38 | Mar 28, 2024 | +0.1% | ✓ right |
| Nov 30, 2023 | OUT | $175.00 | Dec 29, 2023 | +8.8% | ✕ wrong |
| Jan 31, 2023 | IN | $161.33 | Nov 30, 2023 | +8.5% | ✓ right |
| Sep 30, 2022 | OUT | $130.52 | Jan 31, 2023 | +23.6% | ✕ wrong |
| Aug 31, 2022 | IN | $141.94 | Sep 30, 2022 | −8.0% | ✕ wrong |
| May 31, 2022 | OUT | $156.99 | Aug 31, 2022 | −9.6% | ✓ right |
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 34 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.