Momentum · month-end rule · Semiconductors
12-1 Momentum on Qualcomm
What the play says
Latest reading: 12-1 return 4.0%
QCOM 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 QCOM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | −0.5% | +9.9% | −9.8% | +9.6% |
| Total return | −10% | +678% | −40% | +58% |
| Worst drawdown | −66.9% | −48.0% | −66.9% | −44.3% |
| Volatility | 28.9% | 35.5% | 31.9% | 42.7% |
| Sharpe ratio | 0.07 | 0.39 | −0.28 | 0.34 |
| Time invested | 67% | 100% | ||
| Switches per year | 1.9 | 0 |
Every call, graded
Right on 15 of 42 closed calls (36%). In calls averaged +2.7%; out calls saw QCOM move +13.3% on average.
| Called | Call | Price | Until | QCOM moved | Result |
|---|---|---|---|---|---|
| Sep 30, 2026 | IN | $184.04 | now | −3.9% | open |
| Aug 31, 2026 | OUT | $169.56 | Sep 30, 2026 | +8.5% | ✕ wrong |
| May 29, 2026 | IN | $248.74 | Aug 31, 2026 | −31.8% | ✕ wrong |
| Feb 27, 2026 | OUT | $140.17 | May 29, 2026 | +77.5% | ✕ wrong |
| Oct 31, 2025 | IN | $177.21 | Feb 27, 2026 | −20.9% | ✕ wrong |
| Mar 31, 2025 | OUT | $148.73 | Oct 31, 2025 | +19.1% | ✕ wrong |
| Dec 29, 2023 | IN | $136.59 | Mar 31, 2025 | +8.9% | ✓ right |
| Oct 31, 2023 | OUT | $102.28 | Dec 29, 2023 | +33.5% | ✕ wrong |
| Aug 31, 2023 | IN | $107.48 | Oct 31, 2023 | −4.8% | ✕ wrong |
| Oct 31, 2022 | OUT | $107.54 | Aug 31, 2023 | −0.1% | ✓ right |
| Aug 31, 2022 | IN | $120.89 | Oct 31, 2022 | −11.0% | ✕ wrong |
| Jul 29, 2022 | OUT | $131.84 | Aug 31, 2022 | −8.3% | ✓ 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 43 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.