A subscriber suggested that the Simple Asset Class ETF Value Strategy (SACEVS) and the Simple Asset Class ETF Momentum Strategy (SACEMS) may each exhibit return momentum at the strategy level, such that an investor considering both as in Combined Value-Momentum Strategy may want to pick the one with a stronger recent return. To investigate, we test a SACEVS Best Value-SACEMS Equal-Weighted (EW) Top 2 combination strategy that each month picks the strategy with the higher return over a specified lookback interval (SACEVS-SACEMS Momentum). We consider lookback intervals of 1 to 12 months. We use monthly rebalanced 50% SACEVS Best Value-50% SACEMS EW Top 2 (SACEVS-SACEMS 50-50) as a benchmark. We focus on gross compound annual growth rate (CAGR) and maximum drawdown (MaxDD) as key performance metrics. Using SACEVS Best Value and SACEMS EW Top 2 gross monthly returns during July 2006 (limited by SACEMS) through January 2026, we find that:
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