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Forcing SACEMS to Agree with SACEVS

| | Posted in: Strategic Allocation

A subscriber asked whether forcing the Simple Asset Class ETF Momentum Strategy (SACEMS) to agree with the Simple Asset Class ETF Value Strategy (SACEVS) when the latter assigns zero weight to stocks or government bonds improves the performance of the former. Specifically, the suggested change would force to Cash in SACEMS any allocation to SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond ETF (TLT) occurring when SACEVS allocates 0% to SPY or TLT, respectively. To investigate, we impose this additional condition on SACEMS and compare detailed monthly and annual performance statistics for this new version of SACEMS (New) to the original version (Base). Using monthly SACEVS allocations and monthly dividend-adjusted prices of the SACEMS universe ETFs during February 2006 through July 2020, we find that:

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