Momentum · month-end rule · Semiconductors
12-1 Momentum on Nvidia
What the play says
Latest reading: 12-1 return 18.5%
NVDA 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 NVDA over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +26.9% | +39.2% | +39.8% | +61.8% |
| Total return | +17,444% | +128,294% | +429% | +996% |
| Worst drawdown | −83.8% | −85.1% | −54.6% | −66.3% |
| Volatility | 40.7% | 48.3% | 46.6% | 51.9% |
| Sharpe ratio | 0.74 | 0.89 | 0.87 | 1.11 |
| Time invested | 77% | 100% | ||
| Switches per year | 0.8 | 0 |
Every call, graded
Right on 8 of 18 closed calls (44%). In calls averaged +168.0%; out calls saw NVDA move +35.1% on average.
| Called | Call | Price | Until | NVDA moved | Result |
|---|---|---|---|---|---|
| Jun 30, 2025 | IN | $157.60 | now | +45.0% | open |
| May 30, 2025 | OUT | $134.79 | Jun 30, 2025 | +16.9% | ✕ wrong |
| Apr 28, 2023 | IN | $27.66 | May 30, 2025 | +387.3% | ✓ right |
| Jun 30, 2022 | OUT | $15.10 | Apr 28, 2023 | +83.2% | ✕ wrong |
| Nov 29, 2019 | IN | $5.38 | Jun 30, 2022 | +180.6% | ✓ right |
| Dec 31, 2018 | OUT | $3.30 | Nov 29, 2019 | +63.0% | ✕ wrong |
| May 31, 2013 | IN | $0.337 | Dec 31, 2018 | +880.5% | ✓ right |
| Oct 31, 2012 | OUT | $0.274 | May 31, 2013 | +22.9% | ✕ wrong |
| Aug 31, 2012 | IN | $0.321 | Oct 31, 2012 | −14.6% | ✕ wrong |
| Jan 31, 2012 | OUT | $0.338 | Aug 31, 2012 | −5.0% | ✓ right |
| Jan 31, 2011 | IN | $0.547 | Jan 31, 2012 | −38.3% | ✕ wrong |
| Jul 30, 2010 | OUT | $0.210 | Jan 31, 2011 | +160.3% | ✕ 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 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.