Models, Trading Calendar and Momentum Strategy Updates

October 31, 2014 • Posted in Calendar Effects, Fundamental Valuation, Momentum Investing

We have updated the S&P 500 Market Models summary as follows:

  • Extended Market Models regressions/rolled projections by one month based on data available through October 2014.
  • Updated Market Models backtest charts and the market valuation metrics map based on data available through October 2014.

We have updated the Trading Calendar to incorporate data for October 2014.

We have updated the the monthly asset class momentum winners and associated performance data at Momentum Strategy.

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Current Momentum Winners

ETF Momentum Signal
for November 2014 (Final)

Momentum ETF Winner

Second Place ETF

Third Place ETF

Gross Momentum Portfolio Gains
(Since August 2006)
Top 1 ETF Top 2 ETFs
206% 221%
Top 3 ETFs SPY
211% 83%
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