Evidence-based investing research
Login Join
Value Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
Cash TLT LQD SPY
Momentum Investing Strategy (Strategy Overview)
Allocations for March 2026 (Final)
1st ETF 2nd ETF 3rd ETF

GNR Instead of DBC in SACEMS?

Steve LeCompte | | Posted in: Momentum Investing

A subscriber proposed substituting SPDR S&P Global Natural Resources ETF (GNR) for Invesco DB Commodity Index Tracking Fund (DBC) as a proxy for commodities in the Simple Asset Class ETF Momentum Strategy (SACEMS). GNR holds stocks of relatively large firms engaged in natural resources and commodities businesses. DBC holds a range of commodity futures contracts. To investigate, we run SACEMS since June 2006 but substitute GNR for DBC as soon as GNR becomes available in September 2010 (dovetailing with older data). Using dividend-adjusted closing prices for SACEMS asset class proxies and GNR and the yield for Cash during February 2006 (per tracked SACEMS) through April 2022, 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
$17.99 /month

Cancel anytime

Subscribe Now

Further Reading

Momentum Investing, Strategic Allocation SACEVS and SACEMS Strategy Momentum? A subscriber suggested that the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF... Momentum Investing, Strategic Allocation Simplest Asset Class ETF Momentum Strategy Update A subscriber asked about an update of “Simplest Asset Class ETF Momentum Strategy?”, which each month holds SPDR... Momentum Investing, Strategic Allocation SACEMS Portfolio-Asset Exclusion Testing Are all of the potentially trending/diversifying asset class proxies used in the Simple Asset Class ETF Momentum Strategy... Momentum Investing, Strategic Allocation, Technical Trading Add Position Stop-gain to SACEMS? Does adding a position take-profit (stop-gain) rule improve the performance of the “Simple Asset Class ETF Momentum Strategy”... Momentum Investing, Strategic Allocation SACEMS Portfolio-Asset Addition Testing Does adding an exchange-traded fund (ETF) or note (ETN) to the Simple Asset Class ETF Momentum Strategy (SACEMS)... Momentum Investing, Strategic Allocation SACEMS with Different Alternatives for “Cash” Do alternative “Cash” (deemed risk-free) instruments materially affect performance of the “Simple Asset Class ETF Momentum Strategy” (SACEMS)? Changing...