At the end of January, I made changes to my Pure Momentum strategy to reduce volatility. As such, I thought it would be appropriate to wait for six months to pass before posting a performance update of my ETF momentum strategy.
For comparison purposes, I show the monthly performance of Pure Momentum (as reported by Collective2.com) along with Cambria Global Momentum ETF and Resolve Asset Management’s Adaptive Asset Allocation Fund.
The following is from Cambria’s site:
The Cambria Global Momentum ETF (the “Fund”) seeks to preserve and grow capital from investments in the U.S. and foreign equity, fixed income, commodity and currency markets, independent of market direction. The Fund intends to target investing in the top 33% of a target universe of approximately 50 ETFs based on measures of trailing momentum and trend. The portfolio begins with a universe of assets consisting of domestic and foreign stocks, bonds, real estate, commodities and currencies.
And the following is from Resolve’s site:
The Fund applies the principles of Adaptive Asset Allocation (AAA) and takes advantage of institutional-grade execution and margin rates to run our most dynamic version of AAA. The Fund trades more regularly to aggressively capitalize on material changes in trends, correlations, and asset risks. In addition, the Portfolio targets a specified level of Portfolio risk, so overall Portfolio exposure will expand and contract in response to observed changes in Portfolio volatility, subject to leverage constraints. The Fund is constrained to long positions only, and the Canadian dollar is managed vis-a-vis the U.S. dollar by utilizing an active dynamic hedge.
The standard deviation of monthly returns for the Resolve, Cambria and Pure Momentum are 2.19%, 1.27% and 1.66%.
Six months is really a meaningless timeframe over which to compare performances but it is all I have. With that in mind, my strategy is doing well with respect to professionally managed funds.