Testing a 2-12 Asset Class Absolute Momentum Strategy
September 29, 2021 - Strategic Allocation
A subscriber asked about the performance of a strategy that each month has five equal-weighted positions: SPDR Gold Shares (GLD) to represent gold if its past 2-month and 12-month returns are both positive, or otherwise iShares 1-3 Year Treasury Bond (SHY). iShares MSCI ACWI (ACWI) to represent all-world equities if its past 2-month and 12-month returns… Keep Reading