Momentum · month-end rule · Semiconductors
12-1 Momentum on Teradyne
What the play says
Latest reading: 12-1 return 154.6%
TER 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 TER over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +6.5% | +16.7% | +8.8% | +29.2% |
| Total return | +288% | +2,753% | +52% | +257% |
| Worst drawdown | −60.0% | −83.8% | −60.0% | −59.1% |
| Volatility | 33.9% | 44.2% | 43.6% | 54.1% |
| Sharpe ratio | 0.30 | 0.53 | 0.33 | 0.67 |
| Time invested | 65% | 100% | ||
| Switches per year | 2.1 | 0 |
Every call, graded
Right on 14 of 45 closed calls (31%). In calls averaged +7.1%; out calls saw TER move +12.5% on average.
| Called | Call | Price | Until | TER moved | Result |
|---|---|---|---|---|---|
| Oct 31, 2025 | IN | $181.41 | now | +109.6% | open |
| Mar 31, 2025 | OUT | $82.23 | Oct 31, 2025 | +120.6% | ✕ wrong |
| Apr 30, 2024 | IN | $115.34 | Mar 31, 2025 | −28.7% | ✕ wrong |
| Feb 29, 2024 | OUT | $102.72 | Apr 30, 2024 | +12.3% | ✕ wrong |
| Dec 29, 2023 | IN | $107.48 | Feb 29, 2024 | −4.4% | ✕ wrong |
| Nov 30, 2023 | OUT | $91.35 | Dec 29, 2023 | +17.7% | ✕ wrong |
| Jun 30, 2023 | IN | $110.02 | Nov 30, 2023 | −17.0% | ✕ wrong |
| May 31, 2023 | OUT | $99.01 | Jun 30, 2023 | +11.1% | ✕ wrong |
| Apr 28, 2023 | IN | $90.20 | May 31, 2023 | +9.8% | ✓ right |
| Feb 28, 2022 | OUT | $115.88 | Apr 28, 2023 | −22.2% | ✓ right |
| Apr 30, 2019 | IN | $47.47 | Feb 28, 2022 | +144.1% | ✓ right |
| Oct 31, 2018 | OUT | $33.22 | Apr 30, 2019 | +42.9% | ✕ 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 46 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.