Monthly Asset-Class Momentum Rotation Across Five ETFs

Summary

This algorithm allocates among five ETFs representing US stocks, foreign stocks, bonds, real estate, and commodities. It ranks them by trailing 12-month rate of change, selects the three with the strongest momentum, and assigns them equal portfolio weights. At the next monthly rebalance, it liquidates holdings that leave the selected group and sets holdings in the current leaders.

The code uses daily data and a warm-up period before ranking assets. It specifies an initial date and cash balance, but supplies no backtest results, benchmark comparison, transaction-cost assumptions, or risk controls. The monthly trigger checks only whether the calendar month differs from the previous rebalance month; the implementation’s behavior around missing data and execution timing would matter when evaluating the strategy. The document is a compact strategy implementation, not evidence that the rotation produces reliable returns.

Key ideas

• The universe contains five ETFs spanning equities, bonds, real estate, and commodities.
• The strategy ranks assets by trailing 12-month momentum and selects the top three.
• Selected ETFs receive equal weights, with holdings adjusted at monthly intervals.
• The code specifies no performance evidence, cost assumptions, benchmark, or explicit risk controls.

Tags

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