Momentum · month-end rule · Semiconductors
12-1 Momentum on Marvell Technology
What the play says
Latest reading: 12-1 return 152.3%
MRVL 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 MRVL over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +8.1% | +14.5% | +18.9% | +34.1% |
| Total return | +440% | +1,792% | +136% | +331% |
| Worst drawdown | −66.2% | −86.5% | −63.7% | −61.9% |
| Volatility | 36.5% | 48.4% | 55.6% | 65.0% |
| Sharpe ratio | 0.35 | 0.48 | 0.52 | 0.71 |
| Time invested | 59% | 100% | ||
| Switches per year | 1.6 | 0 |
Every call, graded
Right on 12 of 34 closed calls (35%). In calls averaged +4.9%; out calls saw MRVL move +9.8% on average.
| Called | Call | Price | Until | MRVL moved | Result |
|---|---|---|---|---|---|
| Mar 31, 2026 | IN | $98.95 | now | +171.6% | open |
| Dec 31, 2025 | OUT | $84.84 | Mar 31, 2026 | +16.6% | ✕ wrong |
| Oct 31, 2025 | IN | $93.58 | Dec 31, 2025 | −9.3% | ✕ wrong |
| Sep 30, 2025 | OUT | $83.87 | Oct 31, 2025 | +11.6% | ✕ wrong |
| Jul 31, 2025 | IN | $80.18 | Sep 30, 2025 | +4.6% | ✓ right |
| Apr 30, 2025 | OUT | $58.19 | Jul 31, 2025 | +37.8% | ✕ wrong |
| Jun 30, 2023 | IN | $59.16 | Apr 30, 2025 | −1.6% | ✕ wrong |
| Jul 29, 2022 | OUT | $54.86 | Jun 30, 2023 | +7.8% | ✕ wrong |
| May 29, 2020 | IN | $31.81 | Jul 29, 2022 | +72.5% | ✓ right |
| Apr 30, 2020 | OUT | $26.07 | May 29, 2020 | +22.0% | ✕ wrong |
| Apr 30, 2019 | IN | $24.15 | Apr 30, 2020 | +8.0% | ✓ right |
| Nov 30, 2018 | OUT | $15.44 | Apr 30, 2019 | +56.4% | ✕ 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 35 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.