Momentum · month-end rule · Semiconductors
12-1 Momentum on Texas Instruments
What the play says
Latest reading: 12-1 return 45.7%
TXN 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 TXN over exactly the same dates, after costs.
| Play, since 2005 | Hold, since 2005 | Play, 5 yrs | Hold, 5 yrs | |
|---|---|---|---|---|
| Annual return | +10.9% | +14.8% | +9.8% | +12.2% |
| Total return | +840% | +1,892% | +59% | +77% |
| Worst drawdown | −36.8% | −63.8% | −33.4% | −33.4% |
| Volatility | 24.2% | 30.2% | 27.8% | 33.7% |
| Sharpe ratio | 0.48 | 0.55 | 0.34 | 0.40 |
| Time invested | 71% | 100% | ||
| Switches per year | 2.1 | 0 |
Every call, graded
Right on 21 of 45 closed calls (47%). In calls averaged +11.0%; out calls saw TXN move +4.4% on average.
| Called | Call | Price | Until | TXN moved | Result |
|---|---|---|---|---|---|
| Feb 27, 2026 | IN | $209.96 | now | +37.1% | open |
| Oct 31, 2025 | OUT | $158.79 | Feb 27, 2026 | +32.2% | ✕ wrong |
| Sep 30, 2025 | IN | $179.09 | Oct 31, 2025 | −11.3% | ✕ wrong |
| Aug 29, 2025 | OUT | $197.37 | Sep 30, 2025 | −9.3% | ✓ right |
| Jul 31, 2025 | IN | $176.49 | Aug 29, 2025 | +11.8% | ✓ right |
| May 30, 2025 | OUT | $176.96 | Jul 31, 2025 | −0.3% | ✓ right |
| Apr 30, 2024 | IN | $164.68 | May 30, 2025 | +7.5% | ✓ right |
| Nov 30, 2023 | OUT | $141.43 | Apr 30, 2024 | +16.4% | ✕ wrong |
| Jun 30, 2023 | IN | $164.06 | Nov 30, 2023 | −13.8% | ✕ wrong |
| May 31, 2023 | OUT | $158.46 | Jun 30, 2023 | +3.5% | ✕ wrong |
| Apr 28, 2023 | IN | $151.21 | May 31, 2023 | +4.8% | ✓ right |
| Mar 31, 2023 | OUT | $168.22 | Apr 28, 2023 | −10.1% | ✓ 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 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.