No. of Recommendations: 5
Nuzzo fast!
I read this paper with interest and thought to try a backtest. By
happenstance I was recently working on another project which would
make a backtest easily possible.
After a few trips down box canyons and blind alleys I was able to
backtest this Lazy Man’s Momentum Strategy.
https://papers.ssrn.com/sol3/papers.cfm?abstract_i...From the Exhibit A2 of the paper, there are 16 ETFs which have been
available since July 1996, a period of 29 years.
Tested with
Number of dates: 58
Starting 1996/06/01 ending 2024/12/01
29 years. All the ETFs were available on June 1996.
Equal weight recast in July and December, for a 6 month hold. Buy the
top N stocks ranked by 6 month Relative Strength (momentum).
Returns include reinvested dividends. RS is price-only.
6 month relative strength using 16 ETFs.
Take the top N in equal weight, reconstituted in July and December
Performance calculated for each portfolio run.
Long term results are the average of all 58 runs.
CAGR and standard deviation:
Top 2: 11.6% Stdev: 33%
Top 5: 11.4% Stdev: 28%
Top 10: 9.5% Stdev: 27%
Top 12: 9.7% Stdev: 26%
All 16: 9.8% Stdev: 26%
SPY buy & hold: 12.1% Stdev: 21%
Another great idea destroyed by reality.
