Tag: momentum

Theme Recap 06.11.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.

Theme Recap 30.10.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.

Theme Recap 23.10.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.

SPDR Sector ETF Anti-Momentum Rotation

Previously, we saw how buying the best performing sector and holding it for a month didn’t quite pan out. What if, we bought the worst performing sector instead? The “Dogs of Sector Spiders,” if you will.

Rules of Rotation

For ETFs: XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU

  1. Calculate rolling returns over n months. Where n = 1, 3, 6, 12.
  2. For the n+1th month, go long the ETF that had the lowest return in Step 1.

Like before, we split the dataset into Before 2010 and After 2011.

Pick your Fighter

The Before 2010 dataset shows rotation by 3- and 6-month look-back periods to be better than buying-and-holding the S&P 500.

The 6-month look-back rotation strategy – MOM6 – would’ve been the strategy to bet on.

The SPY Rope-a-Dope

“Sure-things” don’t exist in finance.

MOM6 spent the last decade getting absolutely decimated by the S&P 500.

Once again, by simply holding onto the ropes, a passive buy-and-hold S&P 500 investor would’ve come out miles ahead of someone who employed this rotation strategy.

Theme Recap 16.10.2021

A quick look at the results of some of our most popular investment strategies over the last 200-days.

Static Momentum Themes

Static Momentum Themes 200-day performance

Dynamic Momentum Themes

Dynamic Momentum Themes 200-day performance

Value Themes

Value Themes 200-day performance

Machine Learning Themes

Machine Learning Themes 200-day performance

Neural Network Themes

Neural Network Themes 200-day performance

*BRK denotes returns after assuming a brokerage of 0.1% and an STT of 0.1%

A complete list of Themes and investment strategies can be found here.