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SACEMS Data Changes – May 2014

Posted in Momentum Investing

In checking data for the monthly update of “Simple Asset Class ETF Momentum Strategy” (SACEMS), we discovered changes in historical dividend/split-adjusted prices for the following strategy components:

iShares MSCI Emerging Markets Index (EEM)
iShares MSCI EAFE Index (EFA)
iShares Russell 1000 Index (IWB)
iShares Russell 2000 Index (IWM)
SPDR Dow Jones REIT (RWR)

The changes all precede June 2010, and most precede July 2008. Recent dividends do not explain the changes. While the changes are not large, they affect the Top 1 winner in one month and the Top 3 winners in eight months. Incorporating the changes therefore may affect findings in related backtests. We will update these backtests, associated research summaries and “Momentum Strategy” during June 2014 to incorporate the data changes.

These changes illustrate the risk of data instability.

The following table provides detail on percentage changes in historical adjusted prices as used in strategy backtests and months for which the changes affect the Top 3 winners:

momentum-strategy-historical-data-changes

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