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QQQ vs. Simplest Asset Class ETF Momentum Strategy?

December 8, 2023 • Posted in Strategic Allocation

“Simplest Asset Class ETF Momentum Strategy Update” updates performance of a strategy that each month holds SPDR S&P 500 ETF Trust (SPY) or iShares 20+ Year Treasury Bond (TLT) depending on which has the higher total return over the last three months, including a direct comparison to a portfolio that each month allocates 50% to Simple Asset Class ETF Value Strategy (SACEVS) Best Value and 50% to Simple Asset Class ETF Momentum Strategy (SACEMS) equal-weighted (EW) Top 2. A subscriber asked for additional comparison to a strategy that buys and holds Invesco QQQ Trust (QQQ). As before, we begin the test at the end of June 2006, limited by SACEMS inputs. We ignore monthly switching frictions, to the disadvantage of QQQ. Using monthly dividend-adjusted prices for SPY and TLT starting March 2006 and monthly gross returns for 50-50 SACEVS Best Value and SACEMS EW Top 2 and dividend-adjusted prices for QQQ starting July 2006, all through October 2023 (17.3 years), we find that:

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