Momentum · month-end rule · Semiconductors
12-1 Momentum on KLA
What the play says
Latest reading: 12-1 return 63.5%
KLAC 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 KLAC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +18.1% | +22.0% | +35.5% | +43.5% |
| Total return | +3,591% | +7,361% | +353% | +503% |
| Worst drawdown | −44.5% | −75.2% | −44.5% | −44.5% |
| Volatility | 33.2% | 38.6% | 44.5% | 46.6% |
| Sharpe ratio | 0.62 | 0.66 | 0.82 | 0.93 |
| Time invested | 78% | 100% | ||
| Switches per year | 1.2 | 0 |
Every call, graded
Right on 12 of 27 closed calls (44%). In calls averaged +35.3%; out calls saw KLAC move +7.5% on average.
| Called | Call | Price | Until | KLAC moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $87.24 | now | +110.9% | open |
| Apr 30, 2025 | OUT | $69.57 | Jul 31, 2025 | +25.4% | ✕ wrong |
| Feb 28, 2023 | IN | $36.82 | Apr 30, 2025 | +89.0% | ✓ right |
| Oct 31, 2022 | OUT | $30.51 | Feb 28, 2023 | +20.7% | ✕ wrong |
| Aug 31, 2022 | IN | $33.18 | Oct 31, 2022 | −8.0% | ✕ wrong |
| Jul 29, 2022 | OUT | $36.85 | Aug 31, 2022 | −10.0% | ✓ right |
| Mar 29, 2019 | IN | $10.88 | Jul 29, 2022 | +238.6% | ✓ right |
| Oct 31, 2018 | OUT | $8.22 | Mar 29, 2019 | +32.4% | ✕ wrong |
| Jun 29, 2018 | IN | $9.14 | Oct 31, 2018 | −10.1% | ✕ wrong |
| May 31, 2018 | OUT | $10.10 | Jun 29, 2018 | −9.4% | ✓ right |
| Jan 29, 2016 | IN | $5.59 | May 31, 2018 | +80.7% | ✓ right |
| Aug 31, 2015 | OUT | $4.15 | Jan 29, 2016 | +34.7% | ✕ 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 28 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.