Momentum · month-end rule · Semiconductors
12-1 Momentum on Arm Holdings
What the play says
Latest reading: 12-1 return 71.0%
ARM 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 2024
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding ARM over exactly the same dates, after costs.
| Play, since 2024 | Hold, since 2024 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −1.4% | +36.6% | −1.4% | +36.6% |
| Total return | −3% | +88% | −3% | +88% |
| Worst drawdown | −58.6% | −52.3% | −58.6% | −52.3% |
| Volatility | 65.3% | 71.1% | 65.3% | 71.1% |
| Sharpe ratio | 0.24 | 0.73 | 0.24 | 0.73 |
| Time invested | 79% | 100% | ||
| Switches per year | 3.0 | 0 |
Every call, graded
Right on 1 of 6 closed calls (17%). In calls averaged −16.9%; out calls saw ARM move +25.7% on average.
| Called | Call | Price | Until | ARM moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $151.28 | now | +68.8% | open |
| Jan 30, 2026 | OUT | $105.36 | Mar 31, 2026 | +43.6% | ✕ wrong |
| Oct 31, 2025 | IN | $169.82 | Jan 30, 2026 | −38.0% | ✕ wrong |
| Sep 30, 2025 | OUT | $141.49 | Oct 31, 2025 | +20.0% | ✕ wrong |
| Jul 31, 2025 | IN | $141.38 | Sep 30, 2025 | +0.1% | ✓ right |
| May 30, 2025 | OUT | $124.54 | Jul 31, 2025 | +13.5% | ✕ wrong |
| Sep 30, 2024 | IN | $143.01 | May 30, 2025 | −12.9% | ✕ wrong |
An in call is right when the price rose before the next call; an out call is right when it fell. The latest 7 of 7 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.