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My ETF Momentum Strategy Performance for August

First off, I notice my email subscriber list is growing. Given my hectic business schedule during the construction season there is little that I can offer at this time of year other than to report my investment performance. I started doing this years ago to put pressure on myself to improve as an investor. Putting your monthly returns online for all to see is usually humbling but it can lead to a focused effort to improve. Please feel free to send me a note to let me know if there is something you want me to discuss on this site that you haven’t found elsewhere.

This is the tenth consecutive month that my ETF strategy has posted a positive return. For the month of August, my strategy returned 0.82% as reported by Collective2.com. The largest holdings remain the same in September as they were in August with the largest allocation to Asian equity ETF’s.

Tactical asset allocation (TAA) investing strategies such as mine tend not to outperform during bull markets. Anyone invested in a truly global ETF passive strategy has enjoyed similar returns to my strategy. During bear markets, TAA strategies perform well as they are designed to move to treasury ETF’s or cash. This inherent design feature results in lower draw downs than any other strategy that has a similar long term return and only trades once per month.

My Gain to Pain Ratio of 3.11 is exceptionally high but it is measured over a period of less than three years so it really doesn’t count.


My Momentum ETF Strategy Performance for July

By all accounts, my ETF strategy continues to be successful and performed well in July posting a 2.94% gain while maintaining an acceptable level of volatility. The system has now produced nine consecutive months of positive gains and has a CAGR of 10.7%. To be honest, a broadly diversified global basket of low-cost ETF’s has performed similarly so far this year. My system is designed to produce the greatest level of outperformance in bear markets as it will move to cash or likely Treasury ETF’s.



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



Pure Momentum ETF Strategy Performance for May

This is getting repetitive but in a good way! Another month, another positive return. For May, my ETF momentum strategy produced a return of 1.76% The CAGR now stands at 9.7%. My Gain to Pain Ratio is 2.39 and my Profit Ratio is 1.74.

Even though I am using just under 30% leverage, annualized volatility remains comfortably low.

The past seven months make momentum investing seem easy but we all know that a slow, steady rising equity curve isn’t the norm especially for someone using leverage. Volatility will return at some point and I will reduce leverage as required.

Happy investing!


As a DIY investor, I am a strong believer in measuring my trading/investing performance. As the saying goes, if you don’t measure it you won’t improve it.

I just started a subscription to Real Vision TV and began with the Peter Brandt series of videos. Peter Brandt who considers the Sharpe Ratio to be worthless for evaluating trading performance prefers, among a small number of other metrics, the Gain to Pain Ratio which was developed by Jack Schwager. In Brandt’s view, a Gain to Pain Ratio of 1 or better is quite good, a ratio of 2 or better is excellent and a ratio of 3 or better is world class.

The Gain to Pain Ratio is calculated by dividing the sum of monthly portfolio gains by the absolute value of monthly portfolio losses. Let’s calculate my Gain to Pain Ratio for my own ETF momentum trading system.

The sum of all the monthly returns is 10.74.

The absolute value of the losses (-1.80, -1.33, -2.10) is 5.23.

My Gain to Pain Ratio is 10.74 / 5.23 = 2.05

There is one proviso about the Ratio that Jack Schwager points out which we should all be aware of. You can read about that here.

My next post will be about the second metric that Peter Brandt uses which is Profit Ratio.