Momentum · month-end rule · Semiconductors
12-1 Momentum on Monolithic Power Systems
What the play says
Latest reading: 12-1 return 38.4%
MPWR 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 MPWR over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +16.7% | +25.2% | +11.0% | +24.2% |
| Total return | +2,394% | +10,620% | +68% | +194% |
| Worst drawdown | −60.0% | −72.3% | −44.7% | −51.6% |
| Volatility | 38.0% | 46.1% | 45.1% | 55.3% |
| Sharpe ratio | 0.55 | 0.68 | 0.37 | 0.60 |
| Time invested | 76% | 100% | ||
| Switches per year | 0.9 | 0 |
Every call, graded
Right on 7 of 18 closed calls (39%). In calls averaged +103.7%; out calls saw MPWR move +21.7% on average.
| Called | Call | Price | Until | MPWR moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | $998.30 | now | +32.2% | open |
| Dec 31, 2024 | OUT | $583.90 | Oct 31, 2025 | +71.0% | ✕ wrong |
| Mar 31, 2023 | IN | $487.77 | Dec 31, 2024 | +19.7% | ✓ right |
| Jul 29, 2022 | OUT | $450.05 | Mar 31, 2023 | +8.4% | ✕ wrong |
| Sep 30, 2019 | IN | $147.74 | Jul 29, 2022 | +204.6% | ✓ right |
| Aug 30, 2019 | OUT | $142.57 | Sep 30, 2019 | +3.6% | ✕ wrong |
| Jul 31, 2019 | IN | $140.30 | Aug 30, 2019 | +1.6% | ✓ right |
| Jun 28, 2019 | OUT | $128.57 | Jul 31, 2019 | +9.1% | ✕ wrong |
| Feb 28, 2019 | IN | $126.22 | Jun 28, 2019 | +1.9% | ✓ right |
| Jan 31, 2019 | OUT | $119.12 | Feb 28, 2019 | +6.0% | ✕ wrong |
| Jan 31, 2012 | IN | $13.96 | Jan 31, 2019 | +753.2% | ✓ right |
| Jun 30, 2010 | OUT | $15.21 | Jan 31, 2012 | −8.2% | ✓ 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 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.