Quarterly ETF Momentum Selection Across Asset Classes

Summary

The document proposes an aggressive ETF rotation strategy inspired by dual momentum. Instead of comparing a small set of broad holdings, it would compare ETFs across asset classes, regions, sectors, and leveraged products, then select the strongest performer each quarter using both six-month and twelve-month momentum.

The rationale is to capture momentum across different market exposures, including high-beta assets and sectors that may lead in different business-cycle conditions. The document poses the idea as a question and provides no backtest, benchmark comparison, risk controls, or evidence that the approach works. Its broad ETF universe and leveraged instruments could change the strategy’s risk substantially, but the source does not specify selection tie-breakers, position sizing, or how to handle weak or negative momentum.

Key ideas

• The proposed strategy ranks ETFs by six-month and twelve-month momentum.
• It selects the strongest ETF quarterly from a universe spanning asset classes, regions, sectors, and leveraged funds.
• The strategy aims to exploit changing leadership and high-beta exposures.
• The document provides no performance evidence or rules for position sizing and risk management.

Tags

# Momentum Strategy across all ETFs


# Momentum Strategy across all ETFs












This strategy is inspired by the Dual Momentum strategy, but instead of comparing US stocks, ex-US stocks and bonds, it expands to all ETFs and takes into account the relative momentum between asset classes, regions, sectors, and leveraged ETFs.

The idea is, that this strategy would take advantage of momentum's industry bets, high beta, as well as business-cycle dependent nature in the most direct way possible.

Would such a strategy, that picks the best-performing ETF every quarter based on 6- and 12-month momentum, make sense for an ultra-aggressive strategy?

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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