ETF Momentum Strategies Outperform Market
CXO Advisory Group has analyzed the performance of three simple momentum strategies applied to sector ETFs. They found that all three strategies outperformed the market as measured by the S&P 500.
The best performing strategy is called the “6-1-SMA10,” which stipulates that at the end of each month, allocate all funds either to the sector ETF with the highest total return over the past six months or to cash depending on whether the S&P 500 Index is above or below its 10-month simple moving average. The 6-1-SMA10 also had the lowest volatility because it was in cash 42% of the time.
CXO Advisory Group