There are currently around 40 to 45 single-country ETFs actively trading on US exchanges. Is it possible to construct a momentum portfolio that beats a generic all-world momentum offering using them?
We ran a few scenarios. First, we looked at 50-, 100- and 200-day momentum and then we overlaid the same length of trend over them. Compared to both the market-cap and momentum all-world indices, 200-day Momentum + Trend out-performed.
You could also average out the look-backs to get a parameter-free portfolio without regrets.
With the portfolio being equal weighted, it avoids the geographic and industry concentration problem that plagues most momentum ETFs. Besides, there are no ETFs that track the MSCI ACWI Momentum Index right now. Until such a time, DIY!
Code and charts on github.