This is a momentum based strategy that switches between non correlated asset classes. There has been so much research showing that momentum works, academics no longer doubt its value. When non correlated trading vehicles are added to a momentum strategy it increases historical returns and reduces the historical volatility.
This momentum strategy is based on the work of Gary Antonacci and his paper entitled, which was the runner-up for the 2011 presented by the
Historically, the “Optimal Momentum” concept of buying the best performing asset class out of a basket of loosely correlated asset class’s has annualized a return of 17.2% since 1977 with a maximum monthly drawdown of -25%. As a comparison the S&P has only annualized a return of 8% with a maximum monthly drawdown of -52.5%.
This image is from the“Optimal Momentum” white paper
Using ETF’s this strategy would have annualized gains of 20.8% since 2003 with a maximum peak to trough drawdown of -12% . As a comparison a buy and hold in the S&P would have annualized gains of 7% with a peak to trough drawdown of -52%.
This image shows how this strategy has performed since 2003, using ETF’s.
You can receive the monthly signals to this model by monitoring the rules on your own or by getting the simple buy and sell reminders emailed to you through signing up to any one of our subscription services.
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