Momentum · month-end rule · Semiconductors
12-1 Momentum on NXP Semiconductors
What the play says
Latest reading: 12-1 return −0.1%
NXPI 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 2011
Log scale. After trading costs, with T-bill interest while out.
The record
The play against buying and holding NXPI over exactly the same dates, after costs.
| Play, since 2011 | Hold, since 2011 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +13.7% | +20.0% | +5.5% | +6.3% |
| Total return | +596% | +1,461% | +30% | +36% |
| Worst drawdown | −60.1% | −53.3% | −35.4% | −46.5% |
| Volatility | 34.2% | 41.7% | 30.9% | 42.2% |
| Sharpe ratio | 0.50 | 0.61 | 0.20 | 0.26 |
| Time invested | 69% | 100% | ||
| Switches per year | 1.3 | 0 |
Every call, graded
Right on 10 of 19 closed calls (53%). In calls averaged +30.4%; out calls saw NXPI move +11.9% on average.
| Called | Call | Price | Until | NXPI moved | Result |
|---|---|---|---|---|---|
| Aug 31, 2026 | OUT | $223.63 | now | +1.2% | open |
| Jan 30, 2026 | IN | $223.21 | Aug 31, 2026 | +0.2% | ✓ right |
| Feb 28, 2025 | OUT | $208.87 | Jan 30, 2026 | +6.9% | ✕ wrong |
| Jun 30, 2023 | IN | $193.13 | Feb 28, 2025 | +8.2% | ✓ right |
| May 31, 2023 | OUT | $168.09 | Jun 30, 2023 | +14.9% | ✕ wrong |
| Apr 28, 2023 | IN | $153.67 | May 31, 2023 | +9.4% | ✓ right |
| Mar 31, 2022 | OUT | $170.06 | Apr 28, 2023 | −9.6% | ✓ right |
| Jul 31, 2020 | IN | $105.74 | Mar 31, 2022 | +60.8% | ✓ right |
| Jun 30, 2020 | OUT | $102.60 | Jul 31, 2020 | +3.1% | ✕ wrong |
| May 29, 2020 | IN | $86.14 | Jun 30, 2020 | +19.1% | ✓ right |
| Apr 30, 2020 | OUT | $89.25 | May 29, 2020 | −3.5% | ✓ right |
| Jul 31, 2019 | IN | $91.71 | Apr 30, 2020 | −2.7% | ✕ 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 20 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.