When I started the momentum portfolio in 2015, it resembled the GEM strategy described in Dual momentum fairly close. Each month you buy/hold the strongest of US Stock and World ex-US Stock. If Stock market is weak you instead buy/hold US Bond. From start I also included ex-US Bond, enabling switching between US/ex-US Bond when Stock market is weak.
This strategy was easily realised using available US Stock/Bond and World ex-US Stock/Bond ETF's available at the US stock markets NYSE/Nasdaq, and has been working quite well. Due to new EU regulations valid from beginning of 2018, these ETF's are unfortunately no longer available for EU investors. My initial approach was to emulate World ex-US with a mixture of regional ETF's. US ETF's are available also in several EU market places, and you can emulate ex-US using a market cap adjusted mixture of Europe-, Japan-, Asia Pacific ex-Japan-, and Emerging Markets ETF's, all of them available for EU investors.
This approach turned out to be quite impractical, leading to a lot of transactions when switching between US/ex-US. In May I therefore changed the strategy to invest in the two strongest in the set of regional ETF's as above, together covering Global stock market. Similar approaches have been reported by several others, see here, here and here for examples. My intention was to keep the strategy easy to execute, but also to keep the spirit of GEM. Therefore I, as in GEM, wanted to stay in stock if stock market if strong, and knowing that US stock market cap is about half the global market cap and also that GEM has been invested in US Stock 44% of the time since 1970 (ref), I wanted to achieve similar characteristics with my changed strategy.
Therefore I included a Global Stock ETF as a selectable ETF, in order to be exposed more than 50% to US when US is strong.
My new idea is to remove Global stock from the selectable ETF universe, and instead make it possible to select only one stock ETF , if this ETF is the only one stronger than Global stock.
This means that it is more likely that US stock is selected as a single ETF, and also that any other region can be selected alone. But given ex-US regions lower market caps, these regions are way less likely to be selected alone.
I believe this change will be at least as easy to execute, and in a more straightforward way resembles the ideas behind GEM.
The following is updated in the Momentum portfolio rules:
1. Adding a restriction that only Stock ETF's with performance above Global Stock Market can be selected.
2. Removed Global Stock ETF as a selectable ETF.
This effectively means that a single Stock ETF can be selected, if its performance is strong enough.
This strategy was easily realised using available US Stock/Bond and World ex-US Stock/Bond ETF's available at the US stock markets NYSE/Nasdaq, and has been working quite well. Due to new EU regulations valid from beginning of 2018, these ETF's are unfortunately no longer available for EU investors. My initial approach was to emulate World ex-US with a mixture of regional ETF's. US ETF's are available also in several EU market places, and you can emulate ex-US using a market cap adjusted mixture of Europe-, Japan-, Asia Pacific ex-Japan-, and Emerging Markets ETF's, all of them available for EU investors.
This approach turned out to be quite impractical, leading to a lot of transactions when switching between US/ex-US. In May I therefore changed the strategy to invest in the two strongest in the set of regional ETF's as above, together covering Global stock market. Similar approaches have been reported by several others, see here, here and here for examples. My intention was to keep the strategy easy to execute, but also to keep the spirit of GEM. Therefore I, as in GEM, wanted to stay in stock if stock market if strong, and knowing that US stock market cap is about half the global market cap and also that GEM has been invested in US Stock 44% of the time since 1970 (ref), I wanted to achieve similar characteristics with my changed strategy.
Therefore I included a Global Stock ETF as a selectable ETF, in order to be exposed more than 50% to US when US is strong.
My new idea is to remove Global stock from the selectable ETF universe, and instead make it possible to select only one stock ETF , if this ETF is the only one stronger than Global stock.
This means that it is more likely that US stock is selected as a single ETF, and also that any other region can be selected alone. But given ex-US regions lower market caps, these regions are way less likely to be selected alone.
I believe this change will be at least as easy to execute, and in a more straightforward way resembles the ideas behind GEM.
The following is updated in the Momentum portfolio rules:
1. Adding a restriction that only Stock ETF's with performance above Global Stock Market can be selected.
2. Removed Global Stock ETF as a selectable ETF.
This effectively means that a single Stock ETF can be selected, if its performance is strong enough.
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