Momentum · month-end rule · Semiconductors
12-1 Momentum on Lam Research
What the play says
Latest reading: 12-1 return 126.0%
LRCX 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 LRCX over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +22.5% | +25.3% | +36.6% | +42.5% |
| Total return | +8,073% | +13,015% | +371% | +482% |
| Worst drawdown | −45.0% | −75.0% | −41.8% | −56.4% |
| Volatility | 34.2% | 42.4% | 40.5% | 49.7% |
| Sharpe ratio | 0.71 | 0.70 | 0.88 | 0.88 |
| Time invested | 70% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 11 of 18 closed calls (61%). In calls averaged +54.7%; out calls saw LRCX move +7.7% on average.
| Called | Call | Price | Until | LRCX moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $94.22 | now | +219.6% | open |
| Dec 31, 2024 | OUT | $71.36 | Jul 31, 2025 | +32.0% | ✕ wrong |
| Apr 28, 2023 | IN | $50.82 | Dec 31, 2024 | +40.4% | ✓ right |
| Mar 31, 2022 | OUT | $51.38 | Apr 28, 2023 | −1.1% | ✓ right |
| May 31, 2019 | IN | $15.97 | Mar 31, 2022 | +221.7% | ✓ right |
| Sep 28, 2018 | OUT | $13.70 | May 31, 2019 | +16.6% | ✕ wrong |
| Jun 30, 2016 | IN | $7.33 | Sep 28, 2018 | +86.8% | ✓ right |
| May 31, 2016 | OUT | $7.20 | Jun 30, 2016 | +1.9% | ✕ wrong |
| Mar 31, 2016 | IN | $7.18 | May 31, 2016 | +0.3% | ✓ right |
| Feb 29, 2016 | OUT | $6.35 | Mar 31, 2016 | +13.1% | ✕ wrong |
| Jan 29, 2016 | IN | $6.22 | Feb 29, 2016 | +2.1% | ✓ right |
| Sep 30, 2015 | OUT | $5.63 | Jan 29, 2016 | +10.3% | ✕ 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 19 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.