Momentum · month-end rule · Semiconductors
12-1 Momentum on Microchip Technology
What the play says
Latest reading: 12-1 return 17.4%
MCHP 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 MCHP over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.2% | +11.5% | +2.3% | +3.3% |
| Total return | +447% | +948% | +12% | +18% |
| Worst drawdown | −55.8% | −63.8% | −37.7% | −63.8% |
| Volatility | 27.7% | 36.0% | 30.6% | 45.8% |
| Sharpe ratio | 0.36 | 0.43 | 0.10 | 0.22 |
| Time invested | 70% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 16 of 35 closed calls (46%). In calls averaged +13.0%; out calls saw MCHP move +5.0% on average.
| Called | Call | Price | Until | MCHP moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | $74.65 | now | −0.7% | open |
| Nov 29, 2024 | OUT | $64.98 | Jan 30, 2026 | +14.9% | ✕ wrong |
| Aug 30, 2024 | IN | $77.78 | Nov 29, 2024 | −16.5% | ✕ wrong |
| Jul 31, 2024 | OUT | $83.58 | Aug 30, 2024 | −6.9% | ✓ right |
| Dec 29, 2023 | IN | $84.05 | Jul 31, 2024 | −0.6% | ✕ wrong |
| Nov 30, 2023 | OUT | $77.77 | Dec 29, 2023 | +8.1% | ✕ wrong |
| Feb 28, 2023 | IN | $74.38 | Nov 30, 2023 | +4.6% | ✓ right |
| May 31, 2022 | OUT | $65.83 | Feb 28, 2023 | +13.0% | ✕ wrong |
| Apr 29, 2022 | IN | $58.83 | May 31, 2022 | +11.9% | ✓ right |
| Mar 31, 2022 | OUT | $67.80 | Apr 29, 2022 | −13.2% | ✓ right |
| May 29, 2020 | IN | $42.42 | Mar 31, 2022 | +59.8% | ✓ right |
| Apr 30, 2020 | OUT | $38.59 | May 29, 2020 | +9.9% | ✕ 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.