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SACEMS Equal-weighted 2-3 Portfolio

November 7, 2022 • Posted in Strategic Allocation

Referring to “SACEMS Top 1 Mean Reversion?”, a subscriber asked about the performance of the equal-weighted (EW) second and third ranked Simple Asset Class ETF Momentum Strategy (SACEMS) assets both as a standalone strategy and in 50-50 combination with the Simple Asset Class ETF Value Strategy (SACEVS) Best Value portfolio. This alternative portfolio (SACEMS EW 2-3) would avoid any reversion tendency of the top-ranked asset. To investigate, we compare performance statistics for SACEMS EW 2-3 to those for the baseline Top 1, EW Top 2 and EW Top 3 portfolios. We also compare performance statistics for the 50-50 SACEVS Best Value-SACEMS EW 2-3 portfolio to those for 50-50 SACEVS Best Value-SACEMS EW Top 2 and 50-50 SACEVS Best Value-SACEMS EW Top 3 portfolios. Using monthly returns for SACEMS winners and for SACEVS Best Value during July 2006 through September 2022, we find that: (more…)

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