Momentum · month-end rule · Software & devices
12-1 Momentum on Lumentum
What the play says
Latest reading: 12-1 return 462.2%
LITE 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 2016
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding LITE over exactly the same dates, after costs.
| Play, since 2016 | Hold, since 2016 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +35.2% | +40.8% | +71.4% | +63.7% |
| Total return | +2,043% | +3,149% | +1,362% | +1,060% |
| Worst drawdown | −58.8% | −66.9% | −50.6% | −66.5% |
| Volatility | 51.1% | 58.2% | 55.9% | 64.3% |
| Sharpe ratio | 0.80 | 0.84 | 1.18 | 1.03 |
| Time invested | 66% | 100% | ||
| Switches per year | 2.4 | 0 |
Every call, graded
Right on 9 of 24 closed calls (38%). In calls averaged +4.6%; out calls saw LITE move +6.9% on average.
| Called | Call | Price | Until | LITE moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2024 | IN | $63.38 | now | +1,458.8% | open |
| Mar 28, 2024 | OUT | $47.35 | Sep 30, 2024 | +33.9% | ✕ wrong |
| Feb 29, 2024 | IN | $48.47 | Mar 28, 2024 | −2.3% | ✕ wrong |
| Oct 31, 2022 | OUT | $74.45 | Feb 29, 2024 | −34.9% | ✓ right |
| Aug 31, 2022 | IN | $83.55 | Oct 31, 2022 | −10.9% | ✕ wrong |
| Jul 29, 2022 | OUT | $90.46 | Aug 31, 2022 | −7.6% | ✓ right |
| Jun 30, 2022 | IN | $79.42 | Jul 29, 2022 | +13.9% | ✓ right |
| May 31, 2022 | OUT | $86.08 | Jun 30, 2022 | −7.7% | ✓ right |
| Jan 31, 2022 | IN | $101.48 | May 31, 2022 | −15.2% | ✕ wrong |
| Nov 30, 2021 | OUT | $86.77 | Jan 31, 2022 | +17.0% | ✕ wrong |
| Sep 30, 2021 | IN | $83.54 | Nov 30, 2021 | +3.9% | ✓ right |
| Jun 30, 2021 | OUT | $82.03 | Sep 30, 2021 | +1.8% | ✕ 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 25 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.