Momentum · month-end rule · Semiconductors
12-1 Momentum on Micron
What the play says
Latest reading: 12-1 return 473.9%
MU 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 MU over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +20.5% | +23.2% | +71.7% | +71.6% |
| Total return | +5,542% | +9,035% | +1,373% | +1,371% |
| Worst drawdown | −79.1% | −90.9% | −45.9% | −57.6% |
| Volatility | 37.7% | 53.1% | 48.8% | 57.0% |
| Sharpe ratio | 0.64 | 0.62 | 1.27 | 1.17 |
| Time invested | 60% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 13 of 29 closed calls (45%). In calls averaged +23.6%; out calls saw MU move +8.7% on average.
| Called | Call | Price | Until | MU moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $108.97 | now | +774.8% | open |
| Mar 31, 2025 | OUT | $86.67 | Jul 31, 2025 | +25.7% | ✕ wrong |
| Feb 28, 2025 | IN | $93.27 | Mar 31, 2025 | −7.1% | ✕ wrong |
| Jan 31, 2025 | OUT | $90.89 | Feb 28, 2025 | +2.6% | ✕ wrong |
| Jun 30, 2023 | IN | $62.30 | Jan 31, 2025 | +45.9% | ✓ right |
| Apr 29, 2022 | OUT | $66.75 | Jun 30, 2023 | −6.7% | ✓ right |
| Mar 31, 2022 | IN | $76.14 | Apr 29, 2022 | −12.3% | ✕ wrong |
| Feb 28, 2022 | OUT | $86.86 | Mar 31, 2022 | −12.3% | ✓ right |
| Nov 30, 2020 | IN | $62.50 | Feb 28, 2022 | +39.0% | ✓ right |
| Oct 30, 2020 | OUT | $49.09 | Nov 30, 2020 | +27.3% | ✕ wrong |
| May 29, 2020 | IN | $46.72 | Oct 30, 2020 | +5.1% | ✓ right |
| Apr 30, 2020 | OUT | $46.70 | May 29, 2020 | +0.0% | ✕ 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 30 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.