Momentum · month-end rule · Semiconductors
12-1 Momentum on AMD
What the play says
Latest reading: 12-1 return 190.9%
AMD 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 AMD over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +24.4% | +18.2% | +25.0% | +41.1% |
| Total return | +11,243% | +3,622% | +203% | +455% |
| Worst drawdown | −58.7% | −96.2% | −56.4% | −65.4% |
| Volatility | 41.0% | 57.9% | 47.2% | 57.5% |
| Sharpe ratio | 0.69 | 0.54 | 0.63 | 0.82 |
| Time invested | 58% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 23 of 34 closed calls (68%). In calls averaged +49.7%; out calls saw AMD move +1.7% on average.
| Called | Call | Price | Until | AMD moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | $256.12 | now | +136.4% | open |
| Sep 30, 2025 | OUT | $161.79 | Oct 31, 2025 | +58.3% | ✕ wrong |
| Aug 29, 2025 | IN | $162.63 | Sep 30, 2025 | −0.5% | ✕ wrong |
| Dec 31, 2024 | OUT | $120.79 | Aug 29, 2025 | +34.6% | ✕ wrong |
| Jun 30, 2023 | IN | $113.91 | Dec 31, 2024 | +6.0% | ✓ right |
| May 31, 2023 | OUT | $118.21 | Jun 30, 2023 | −3.6% | ✓ right |
| Apr 28, 2023 | IN | $89.37 | May 31, 2023 | +32.3% | ✓ right |
| Jul 29, 2022 | OUT | $94.47 | Apr 28, 2023 | −5.4% | ✓ right |
| Jun 29, 2018 | IN | $14.99 | Jul 29, 2022 | +530.2% | ✓ right |
| Dec 29, 2017 | OUT | $10.28 | Jun 29, 2018 | +45.8% | ✕ wrong |
| Apr 29, 2016 | IN | $3.55 | Dec 29, 2017 | +189.6% | ✓ right |
| Feb 29, 2016 | OUT | $2.14 | Apr 29, 2016 | +65.9% | ✕ 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 35 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.