Momentum · month-end rule · Software & devices
12-1 Momentum on Cadence Design Systems
What the play says
Latest reading: 12-1 return −3.6%
CDNS 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 CDNS over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +14.7% | +16.1% | +4.0% | +16.9% |
| Total return | +1,847% | +2,428% | +22% | +118% |
| Worst drawdown | −39.2% | −89.2% | −39.2% | −34.2% |
| Volatility | 27.5% | 37.2% | 33.2% | 37.2% |
| Sharpe ratio | 0.57 | 0.54 | 0.17 | 0.50 |
| Time invested | 84% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 13 of 28 closed calls (46%). In calls averaged +30.3%; out calls saw CDNS move +5.7% on average.
| Called | Call | Price | Until | CDNS moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $338.78 | now | −1.4% | open |
| May 29, 2026 | IN | $374.93 | Aug 31, 2026 | −9.6% | ✕ wrong |
| Apr 30, 2026 | OUT | $329.59 | May 29, 2026 | +13.8% | ✕ wrong |
| Jul 31, 2025 | IN | $364.57 | Apr 30, 2026 | −9.6% | ✕ wrong |
| Jun 30, 2025 | OUT | $308.15 | Jul 31, 2025 | +18.3% | ✕ wrong |
| May 30, 2025 | IN | $287.07 | Jun 30, 2025 | +7.3% | ✓ right |
| Feb 28, 2025 | OUT | $250.50 | May 30, 2025 | +14.6% | ✕ wrong |
| Jan 31, 2023 | IN | $182.83 | Feb 28, 2025 | +37.0% | ✓ right |
| Oct 31, 2022 | OUT | $151.39 | Jan 31, 2023 | +20.8% | ✕ wrong |
| May 29, 2020 | IN | $91.29 | Oct 31, 2022 | +65.8% | ✓ right |
| Apr 30, 2020 | OUT | $81.13 | May 29, 2020 | +12.5% | ✕ wrong |
| Feb 28, 2019 | IN | $57.25 | Apr 30, 2020 | +41.7% | ✓ 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 29 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.