Momentum · month-end rule · Semiconductors
12-1 Momentum on Lattice Semiconductor
What the play says
Latest reading: 12-1 return 57.3%
LSCC 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 LSCC over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.0% | +16.4% | +5.1% | +13.9% |
| Total return | +2,382% | +2,592% | +28% | +91% |
| Worst drawdown | −56.9% | −85.3% | −55.2% | −61.1% |
| Volatility | 37.2% | 50.9% | 40.4% | 56.1% |
| Sharpe ratio | 0.54 | 0.52 | 0.23 | 0.44 |
| Time invested | 55% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 9 of 19 closed calls (47%). In calls averaged +77.7%; out calls saw LSCC move +9.5% on average.
| Called | Call | Price | Until | LSCC moved | Result |
|---|---|---|---|---|---|
| Aug 29, 2025 | IN | $66.38 | now | +82.5% | open |
| Nov 30, 2023 | OUT | $58.55 | Aug 29, 2025 | +13.4% | ✕ wrong |
| Jan 31, 2023 | IN | $75.79 | Nov 30, 2023 | −22.7% | ✕ wrong |
| May 31, 2022 | OUT | $52.02 | Jan 31, 2023 | +45.7% | ✕ wrong |
| Aug 31, 2018 | IN | $8.19 | May 31, 2022 | +535.2% | ✓ right |
| Sep 29, 2017 | OUT | $5.21 | Aug 31, 2018 | +57.2% | ✕ wrong |
| Dec 30, 2016 | IN | $7.36 | Sep 29, 2017 | −29.2% | ✕ wrong |
| Nov 30, 2016 | OUT | $7.01 | Dec 30, 2016 | +5.0% | ✕ wrong |
| Jul 29, 2016 | IN | $6.01 | Nov 30, 2016 | +16.6% | ✓ right |
| Feb 27, 2015 | OUT | $6.72 | Jul 29, 2016 | −10.6% | ✓ right |
| May 31, 2013 | IN | $5.18 | Feb 27, 2015 | +29.7% | ✓ right |
| Apr 30, 2012 | OUT | $5.46 | May 31, 2013 | −5.1% | ✓ 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 20 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.