"SACEVS and SACEMS Strategy Momentum?" finds support for belief that a strategy exploiting the relative performance of Simple Asset Class ETF Value Strategy (SACEVS) Best Value and Simple Asset Class ETF Momentum Strategy (SACEMS) Equal-Weighted (EW) Top 2 boosts performance, with focus on a 60%-40% tilt toward the strategy with the stronger past returns. It also considers a full tilt (100%-0%) toward the stronger strategy for one lookback interval. Here, we examine sensitivity of the performance of the full tilt alternative (SACEVS-SACEMS Momentum) across lookback intervals ranging from one to 12 months. This alternative holds either SACEVS Best Value or SACEMS EW Top 2 according to which has the higher past return. We focus on gross compound annual growth rate (CAGR) and gross maximum drawdown (MaxDD) as essential performance metrics. As a benchmark, we use the monthly rebalanced SACEVS Best Value-SACEMS EW Top 2 50%-50% baseline (SACEVS-SACEMS 50-50 Baseline). Using monthly returns for SACEVS Best Value and SACEMS EW Top 2 during July 2006 through January 2025, we find that:
Subscribe to Keep Reading
Get the research edge serious investors rely on.
- 1,200+ research articles
- Monthly strategy signals
- 20+ years of backtested analysis
Cancel anytime