Limited-choice Asset Class Momentum Strategy
December 6, 2012 - Momentum Investing
A subscriber asked whether limiting choices in the Simple Asset Class ETF Momentum Strategy (SACEMS) to IWB, IWM, RWR, EFA and EEM (TLT, GLD, DBC and Cash) when above (below) the 200-day simple moving average improves model performance. To investigate, we assume the simple moving average (SMA) is for the S&P 500 Index as proxy… Keep Reading