Monthly Momentum In SPY and EEM
Last Updated on October 26, 2022
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:
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.