Subject: Re: Momentum petering out?
An easy way is simply to track recent performance of an ETF such as MTUM, a periodically rebalanced (~6 months) ETF of high performing (mostly megacap) stocks. Here's a current (daily updated) table I use to monitor "momentum" and choose the highest recent average performing asset classes (aka GTAA).
QMOM rank = excluding 1m return, rank of average of 2m, 6m, 12m return
2-12 R - rank of return by product of (-2m rtn,-3m rtn,-4m rtn,...-12m rtn)
AVERAGE = Average of QMOM rank & 2-12 rank.
Pure US-only "momentum" (megacap tech) has the worst 1 month total return and is apparently decreasing momentum.
Emerging Markets and EAFE stocks have the best sustained and recent momentum, by far.
QMOM rank 2-12 R 2-12RTN 1M 3M 6M 12M
AVERAGE
iShares Core MSCI Emerging Markets IEMG 1 1 1.262 5.59 8.23 19.81 33.22
iShares MSCI EAFE Small Cap Index Fund SCZ 2 2.0 1.238 4.56 10.11 11.49 29.40
iShares MSCI EAFE Index Fund EFA 3 3.0 1.212 4.78 8.97 14.24 26.95
Vanguard Global ex-U.S. Real Estate ETF VNQI 7 5.5 1.146 4.55 4.41 4.57 19.79
iShares MSCI USA Momentum ETF MTUM 7 6.0 1.137 -1.16 1.34 3.94 12.42
SPDR S&P 500 SPY 6 6.0 1.129 0.16 2.00 9.34 13.10
iShares S&P Small Cap 600 Growth ETF IJT 5 6.0 1.056 5.27 8.93 14.36 9.05
iShares Core S&P Small-Cap ETF IJR 4 6.0 1.050 6.67 11.32 19.33 12.01
SPDR Barclays 1-3 Month T-Bill ETF BIL 9 9.0 1.039 0.35 1.07 2.13 4.30
Vanguard REIT VNQ 10 10.0 0.981 4.24 3.33 2.73 1.22
FC