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SACEVS Best Value + SACEMS EW Top 2?

| | Posted in: Strategic Allocation

A subscriber asked for a comparison of two 50%-50% monthly rebalanced combinations of Simple Asset Class ETF Value Strategy (SACEVS) and Simple Asset Class ETF Momentum Strategy (SACEMS) portfolios, as follows:

  1. 50-50 Best Value + EW Top 2: SACEVS Best Value plus SACEMS EW Top 2, employing a somewhat more aggressive momentum portfolio.
  2. 50-50 Best Value + EW Top 3: Best Value plus SACEMS equal-weighted (EW) Top 3, as tracked at "Combined Value-Momentum Strategy (SACEVS-SACEMS)".

To investigate, we run the two combinations and compare cumulative performances and annual performance statistics. Using monthly SACEVS Best Value and SACEMS EW Top 2 and EW Top 3 portfolio returns commencing July 2006 (limited by SACEMS), we find that:

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