Momentum · month-end rule · Semiconductors
12-1 Momentum on STMicroelectronics
What the play says
Latest reading: 12-1 return 78.7%
STM 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 STM over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +7.4% | +7.6% | +15.7% | +4.6% |
| Total return | +370% | +384% | +107% | +25% |
| Worst drawdown | −63.9% | −80.6% | −40.1% | −66.7% |
| Volatility | 29.6% | 42.7% | 33.6% | 47.7% |
| Sharpe ratio | 0.33 | 0.34 | 0.49 | 0.25 |
| Time invested | 54% | 100% | ||
| Switches per year | 2.0 | 0 |
Every call, graded
Right on 20 of 43 closed calls (47%). In calls averaged +7.7%; out calls saw STM move +4.0% on average.
| Called | Call | Price | Until | STM moved | Result |
|---|---|---|---|---|---|
| Jan 30, 2026 | IN | $27.73 | now | +78.8% | open |
| Nov 28, 2025 | OUT | $22.78 | Jan 30, 2026 | +21.7% | ✕ wrong |
| Oct 31, 2025 | IN | $24.25 | Nov 28, 2025 | −6.0% | ✕ wrong |
| May 31, 2024 | OUT | $40.81 | Oct 31, 2025 | −40.6% | ✓ right |
| Apr 30, 2024 | IN | $38.47 | May 31, 2024 | +6.1% | ✓ right |
| Feb 29, 2024 | OUT | $44.30 | Apr 30, 2024 | −13.2% | ✓ right |
| Dec 29, 2023 | IN | $48.68 | Feb 29, 2024 | −9.0% | ✕ wrong |
| Nov 30, 2023 | OUT | $46.01 | Dec 29, 2023 | +5.8% | ✕ wrong |
| Feb 28, 2023 | IN | $46.52 | Nov 30, 2023 | −1.1% | ✕ wrong |
| Jul 29, 2022 | OUT | $36.53 | Feb 28, 2023 | +27.4% | ✕ wrong |
| Jun 30, 2022 | IN | $30.30 | Jul 29, 2022 | +20.6% | ✓ right |
| May 31, 2022 | OUT | $38.52 | Jun 30, 2022 | −21.3% | ✓ 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 44 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.