Momentum Rotation Across E Fund Industry and Theme ETFs

Summary

The report studies momentum-based rotation among 15 E Fund industry, theme, and selected broad-market ETFs. It compares 20-, 60-, and 120-day return momentum measures, using information coefficient and ranked portfolio tests over a historical Chinese market sample. The 120-day measure is reported as the strongest of the three. The proposed portfolio rebalances monthly, selects the three highest-ranked ETFs, and holds them with equal weights; the test uses returns of the tracked indices as substitutes for ETF returns and includes a stated one-way fee assumption.

The reported backtest shows the rotation portfolio outperforming an equal-weight basket of the ETF universe over the stated period, though its risk-adjusted statistics are more modest than the separate long-short factor test. These are historical results from a limited ETF universe and sample window. Index returns may differ from investable ETF returns, and the report does not establish that the ranking will persist out of sample or under different liquidity, slippage, and fee conditions.

Key ideas

• The study compares short-, medium-, and longer-lookback momentum for a selected set of Chinese industry and theme ETFs.
• The 120-day momentum measure is reported to perform best in the factor tests.
• The rotation portfolio rebalances monthly and equally weights the three highest-ranked ETFs.
• Tracked-index returns are used as proxies for ETF returns, so actual fund performance may differ.
• The reported results are historical and depend on the chosen sample, universe, and cost assumption.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.