Monthly Momentum In SPY and EEM

Last Updated on June 19, 2022 by Quantified Trading

There are many ways to utilize monthly momentum in SPY and EEM:

I have over the last week written two articles about momentum:

The third looks at rotating between the two most popular stock ETFs: SPY and EEM.

The assumptions are like this:

  • It’s based on monthly data in the ETFs SPY and EEM.
  • Every month rank them based on last month’s performance and go long the best performing.
  • Hold for one month and repeat (or continue being long the same instrument).

Pretty simple, and the equity curve looks like this:

Momentum strategy in SPY and EEM.

The strategy outperforms buy and hold for both ETFs, but the drawdown is bigger compared to momentum in SPY/TLT. Bonds lower the drawdowns a lot.

I have tested different lookback periods and holding times, but it seems monthly performs the best.


Similar Posts