Momentum · month-end rule · Sectors
12-1 Momentum on VanEck Semiconductor ETF
What the play says
Latest reading: 12-1 return 71.1%
SMH 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 SMH over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +15.1% | +19.1% | +29.2% | +37.0% |
| Total return | +1,989% | +4,270% | +258% | +380% |
| Worst drawdown | −35.7% | −64.2% | −35.7% | −45.3% |
| Volatility | 24.5% | 29.9% | 32.8% | 36.8% |
| Sharpe ratio | 0.62 | 0.67 | 0.83 | 0.94 |
| Time invested | 72% | 100% | ||
| Switches per year | 1.4 | 0 |
Every call, graded
Right on 12 of 31 closed calls (39%). In calls averaged +20.6%; out calls saw SMH move +6.1% on average.
| Called | Call | Price | Until | SMH moved | Result |
|---|---|---|---|---|---|
| Jul 31, 2025 | IN | $287.88 | now | +104.3% | open |
| Apr 30, 2025 | OUT | $210.62 | Jul 31, 2025 | +36.7% | ✕ wrong |
| Apr 28, 2023 | IN | $121.96 | Apr 30, 2025 | +72.7% | ✓ right |
| May 31, 2022 | OUT | $119.29 | Apr 28, 2023 | +2.2% | ✕ wrong |
| Jul 31, 2019 | IN | $55.58 | May 31, 2022 | +114.6% | ✓ right |
| Jun 28, 2019 | OUT | $52.30 | Jul 31, 2019 | +6.3% | ✕ wrong |
| Mar 29, 2019 | IN | $50.47 | Jun 28, 2019 | +3.6% | ✓ right |
| Nov 30, 2018 | OUT | $45.06 | Mar 29, 2019 | +12.0% | ✕ wrong |
| Jun 30, 2016 | IN | $25.97 | Nov 30, 2018 | +73.5% | ✓ right |
| May 31, 2016 | OUT | $25.92 | Jun 30, 2016 | +0.2% | ✕ wrong |
| Apr 29, 2016 | IN | $23.89 | May 31, 2016 | +8.5% | ✓ right |
| Feb 29, 2016 | OUT | $22.97 | Apr 29, 2016 | +4.0% | ✕ 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 32 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.