We had first discussed Gary Antonacci’s Global Equities Momentum in 2019. We had forecast that using basic indices to drive momentum longs would yield better returns than using market-cap ETFs.
Since then, GEM’s momentum flavor under-performed its market-cap version. Also, buying & holding the S&P 500 index out-performed GEM. You would’ve done even better by buying & holding MTUM (the US momentum ETF).
You do get lower drawdowns in GEM. However, during this period, the lag between when the market recovered and GEM caught up overshadowed the benefit of lower drawdowns.
Charts and code on github.