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Optimal SACEMS Lookback Interval Update

Steve LeCompte | | Posted in: Momentum Investing, Strategic Allocation

Key Insight

SACEMS (monthly momentum rotation across a multi-asset ETF universe) shows a 4-month lookback as best on gross CAGR and MaxDD for Top 1, EW Top 2 and EW Top 3 portfolios, with Top 1 least stable (Feb 2007–Nov 2025; in-sample, gross of costs).

How sensitive is performance of the "Simple Asset Class ETF Momentum Strategy" (SACEMS) to choice of momentum calculation lookback interval, and what interval works best? To investigate, we generate gross compound annual growth rates (CAGR) and maximum drawdowns (MaxDD) for SACEMS Top 1, equally weighted (EW) EW Top 2 and EW Top 3 portfolios over lookback intervals ranging from one to 12 months. All calculations start at the end of February 2007 based on inception of the commodities exchange-traded fund and the longest lookback interval. Using end-of-month total (dividend-adjusted) returns for the SACEMS asset universe during February 2006 through November 2025, we find that:

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