Adjust the SACEMS Asset Universe?

The Simple Asset Class ETF Momentum Strategy (SACEMS) each month picks winners based on total return over a specified ranking (lookback) interval from the following eight asset class exchange-traded funds (ETF), plus cash:

1. PowerShares DB Commodity Index Tracking (DBC)
2. iShares MSCI Emerging Markets Index (EEM)
3. iShares MSCI EAFE Index (EFA)
4. SPDR Gold Shares (GLD)
5. iShares Russell 2000 Index (IWM)
6. SPDR S&P 500 (SPY)
7. iShares Barclays 20+ Year Treasury Bond (TLT)
8. Vanguard REIT ETF (VNQ)
9. 3-month Treasury bills (Cash)

Based on findings in “SACEMS Portfolio-Asset Addition Testing”, a subscriber proposed adding iShares JPMorgan Emerging Market Bond Fund (EMB) to this set. To investigate, we revisit relevant analyses and conduct robustness tests, with focus on the equal-weighted (EW) Top 3 SACEMS portfolio. Using monthly dividend-adjusted closing prices for asset class proxies and the yield for Cash during February 2006 (when all ETFs in the baseline universe are first available) through June 2019, we find that: (more…)