Momentum · month-end rule · Semiconductors
12-1 Momentum on Intel
What the play says
Latest reading: 12-1 return 166.8%
INTC 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 INTC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +5.4% | +10.0% | +23.4% | +16.5% |
| Total return | +213% | +686% | +185% | +114% |
| Worst drawdown | −50.9% | −70.8% | −41.9% | −65.0% |
| Volatility | 28.2% | 37.7% | 39.0% | 55.5% |
| Sharpe ratio | 0.26 | 0.39 | 0.63 | 0.48 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 14 of 35 closed calls (40%). In calls averaged −0.2%; out calls saw INTC move +7.1% on average.
| Called | Call | Price | Until | INTC moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2025 | IN | $33.55 | now | +206.4% | open |
| May 31, 2024 | OUT | $30.66 | Sep 30, 2025 | +9.4% | ✕ wrong |
| Aug 31, 2023 | IN | $34.56 | May 31, 2024 | −11.3% | ✕ wrong |
| Jan 31, 2022 | OUT | $45.28 | Aug 31, 2023 | −23.7% | ✓ right |
| Jul 30, 2021 | IN | $49.16 | Jan 31, 2022 | −7.9% | ✕ wrong |
| May 28, 2021 | OUT | $52.27 | Jul 30, 2021 | −6.0% | ✓ right |
| Feb 26, 2021 | IN | $55.28 | May 28, 2021 | −5.4% | ✕ wrong |
| Oct 30, 2020 | OUT | $39.74 | Feb 26, 2021 | +39.1% | ✕ wrong |
| Jul 31, 2019 | IN | $44.05 | Oct 30, 2020 | −9.8% | ✕ wrong |
| May 31, 2019 | OUT | $38.38 | Jul 31, 2019 | +14.8% | ✕ wrong |
| Mar 29, 2019 | IN | $46.51 | May 31, 2019 | −17.5% | ✕ wrong |
| Jan 31, 2019 | OUT | $40.55 | Mar 29, 2019 | +14.7% | ✕ 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 36 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.