Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for August 2022 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for August 2022 (Final)
1st ETF 2nd ETF 3rd ETF

Add XLU to SACEMS?

March 14, 2022 • Posted in Strategic Allocation

A subscriber proposed adding Utilities Select Sector SPDR Fund (XLU) to the Simple Asset Class ETF Momentum Strategy (SACEMS) asset universe based on the relatively low correlation of XLU with the broad U.S. stock market. To investigate, we:

  • Expand the SACEMS asset universe to include XLU.
  • Generate performance data for this expanded universe for the SACEMS Top 1, equal-weighted (EW) Top 2 and EW Top 3 portfolios.
  • Compare results to those for baseline SACEMS portfolios.

Using inputs during February 2006 (inception of DBC as a proxy for commodities) through February 2022, we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?