"Simple Sector ETF Momentum Strategy" investigates performances of simple momentum strategies for the following nine sector exchange-traded funds (ETF) executed with Standard & Poor's Depository Receipts (SPDR):
Materials Select Sector SPDR (XLB)
Energy Select Sector SPDR (XLE)
Financial Select Sector SPDR (XLF)
Industrial Select Sector SPDR (XLI)
Technology Select Sector SPDR (XLK)
Consumer Staples Select Sector SPDR (XLP)
Utilities Select Sector SPDR (XLU)
Health Care Select Sector SPDR (XLV)
Consumer Discretionary Select SPDR (XLY)
Here, we revisit this strategy and extend it by adding equal-weighted (EW) combinations of the top two and top three sector ETFs, along with robustness tests and benchmarks. Using monthly dividend-adjusted closing prices for the sector ETFs and SPDR S&P 500 ETF Trust (SPY), 3-month U.S. Treasury bill (T-bill) yield and S&P 500 Index level during December 1998 through January 2026, we find that:
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