SACEMS Bull-Bear Combo (4-month lookback when the S&P 500 is above its 10-month SMA, 2-month when below) had higher gross CAGR than the 4-month baseline for EW Top 3 but lower for EW Top 2 (Jul 2006–Dec 2022; monthly; gross of frictions).
Referring to "Asset Class Momentum Faster During Bear Markets?", a subscriber asked about performance of a modification of the equal-weighted top three (EW Top 3) version of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) which uses the baseline momentum ranking (lookback) interval when the S&P 500 Index is above its 10-month simple moving average (SMA10) and a shorter lookback interval when the index is below its SMA10. To investigate, we look at average monthly return, standard deviation of monthly returns, monthly reward/risk (average divided by standard deviation), compound annual growth rate (CAGR) and maximum drawdown (MaxDD) as key performance statistics. Using monthly SACEMS returns for different lookback intervals since July 2006 and monthly levels of the S&P 500 Index since September 2005, all through December 2022, we find that:
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