Developed Country Stock Index Momentum?

Is there an easy, low-frictions way to implement an attractive momentum strategy at the country market level? In his short October 2025 paper entitled “The Lazy Man’s Momentum Strategy”, flagged by a subscriber, Javier Estrada tests a “lazy” momentum strategy that every six months at the ends of June and December:

• Ranks developed country stock market indexes based on past 6-month total returns in U.S. dollars.
• Reforms an equal-weighted portfolio of winners (losers) as the half of indexes with the highest (lowest) returns.

He uses the MSCI World Index, consisting of the market capitalization-weighted developed country indexes in the sample, as a benchmark. Using monthly total returns (including dividends) for the MSCI World Index and for MSCI developed country stock market indexes from inception in December 1969 (17 countries) through December 2024 (23 countries), he finds that: (more…)