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My ETF Momentum Strategy Performance for June

By the narrowest of margins, I can say that my momentum strategy has produced eight consecutive months of positive performance. My equity curve was essentially flat in June with a change in value of 0.02%. As volatility remains low in most asset classes, the annualized volatility of my equity chart was less than 10% for all of June.

A performance metric that my strategy has a high value for is the gain to pain ratio. A value above 2 is considered to be exceptional. That ratio is usually calculated over the previous three or five years and since my strategy has less than two years history it really is too early to make a judgement of the gain to pain ratio for it.

My largest holding for July is the gold ETF GLD which I haven’t held since last October.

ETF Momentum Equity Curve

ETF Momentum Strategy VolatilityETF Strategy Monthly ReturnsGain to Pain

 

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