A subscriber, wondering if past returns unadjusted by dividends (capital gains/losses only) more accurately reflect relative momentum than dividend-adjusted returns, asked about performance of the Simple Asset Class ETF Momentum Strategy (SACEMS) with assets ranked by unadjusted returns. To investigate, we compare performance statistics for SACEMS Top 1, equal-weighted (EW) Top 2 and EW Top 3 portfolios with assets ranked by either dividend-adjusted (the tracked version of SACEMS) or unadjusted past returns. For both cases, portfolio performance data include reinvested dividends. Using monthly dividend-adjusted and unadjusted prices for SACEMS assets as available during February 2006 through October 2022, we find that:
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