Follow the Leader (monthly hold of EEM after a positive prior-month SPY return, else TLT) beat buy-and-hold SPY in 9 of 19 April-to-April years, with wins concentrated early (gross of costs; 94 switches; Apr 2003–Apr 2022).
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:
Growth-inflation Regimes and Asset Class Returns PremiumClaude-generated charts of annual SPY, TLT, VNQ, GLD and DBC returns across four growth-inflation regimes show no obvious patterns; stagflation favored TLT and GLD…
Regime-Optimal Trend Following PremiumRegime-dependent optimal allocation (OPT) improved gross Sharpe ratios versus conventional time series momentum in both 2-regime and 4-regime models (U.S. equities from 1926, 14…
Tactical Signals from a Gold/Silver Ratio? PremiumGLD/SLV:SMA12 switching (hold SLV when the GLD/SLV price ratio is above its 12-month SMA, else GLD; monthly) showed higher gross CAGR than GLD, with…
Gold Price Regime Changes? PremiumGold showed -0.02 average and 0.20 maximum 10-year rolling monthly return correlation with the S&P 500 Index (Jan 1975–Mar 2025); gold ETF demand correlates…
