### Optimal Monthly Cycle for Simple Debt Class Mutual Fund Momentum Strategy?

**February 4, 2015** - Bonds, Momentum Investing, Strategic Allocation

In reference to “Optimal Monthly Cycle for Simple Asset Class ETF Momentum Strategy?”, a subscriber asked about an optimal monthly cycle for the “Simple Debt Class Mutual Fund Momentum Strategy”. This latter strategy each month allocates the entire portfolio value to the one of the following 12 debt class mutual funds with the highest past total return (optimally over the last two months):

T. Rowe Price New Income (PRCIX)

Thrivent Income A (LUBIX)

Vanguard GNMA Securities (VFIIX)

T. Rowe Price High-Yield Bonds (PRHYX)

T. Rowe Price Tax-Free High Yield Bonds (PRFHX)

Vanguard Long-Term Treasury Bonds (VUSTX)

T. Rowe Price International Bonds (RPIBX)

Fidelity Convertible Securities (FCVSX)

PIMCO Short-Term A (PSHAX)

Fidelity New Markets Income (FNMIX)

Eaton Vance Government Obligations C (ECGOX)

Vanguard Long-Term Bond Index (VBLTX)

To investigate, we compare 21 variations of the strategy based on shifting the monthly return calculation cycle relative to trading days from the end of the month (EOM). For example, an EOM+5 cycle ranks funds based on closing prices five trading days after EOM each month. We use the historically optimal two-month fund momentum measurement interval. Using daily dividend-adjusted closes for the 12 funds during mid-December 1994 through mid-January 2015 (241 months), *we find that:* Keep Reading