Momentum Based trading strategy

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Historically, the “Optimal Momentum” concept of buying the best performing asset class out of a basket of loosely correlated asset class’s has annualized a return of 17.2% since 1977 with a maximum monthly drawdown of -25%. As a comparison the S&P has only annualized a return of 8% with a maximum monthly drawdown of -52.5%.
Using ETF’s this strategy would have annualized gains of 20.8% since 2003 with a maximum peak to trough drawdown of -12% . As a comparison a buy and hold in the S&P would have annualized gains of 7% with a peak to trough drawdown of -52%.