Add XLU to SACEMS?

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…)