SACEMS Applied to Mutual Funds
May 27, 2021 - Momentum Investing, Strategic Allocation
A subscriber inquired whether a longer test of the “Simple Asset Class ETF Momentum Strategy” (SACEMS) is feasible using mutual funds rather than exchange-traded funds (ETF) as asset class proxies. To investigate, we consider the following set of mutual funds (partly adapted from the paper summarized in “Asset Allocation Combining Momentum, Volatility, Correlation and Crash Protection”): Vanguard Total Stock… Keep Reading