Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for January 2023 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for January 2023 (Final)
1st ETF 2nd ETF 3rd ETF

Ranking SACEMS Assets with Unadjusted Returns

November 30, 2022 • Posted in Strategic Allocation

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:

(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?