A subscriber suggested review of a Follow the Leader (FTL) strategy that, in simplest form, each month holds iShares MSCI Emerging Markets ETF (EEM) when prior-month SPDR S&P 500 ETF Trust (SPY) return is positive and iShares 20+ Year Treasury Bond ETF (TLT) when prior-month SPY return is negative. To investigate, we run this simplest FTL strategy over the available history of EEM. We use buy-and-hold SPY as a benchmark. Using monthly dividend-adjusted returns for SPY since March 2003 and for EEM and TLT since April 2003, all through April 2022, we find that:
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