Skip to main content
No. of Recommendations: 12
BAGoldman:
I wonder how it would work if leveraged ETFs were used instead of the 9 original unleveraged ETFs (all are 3x leverage except I could only find 2x for materials)?

If the Fama/French twelve sectors (https://mba.tuck.dartmouth.edu/pages/faculty/ken.french/ftp/...) are an acceptable substitute, then you can easily backtest both 1x and 3x versions of sector momentum (with the timing step) back to 1927. You can reduce the 12 sectors down to a smaller subset of sectors by eliminating any symbols you don't want (for example, it probably makes sense to eliminate F1212, "Other") from the custom universe code that looks like this (for 1x):

{!F1201T}{!F1202T}{!F1203T}{!F1204T}{!F1205T}{!F1206T}{!F1207T}{!F1208T}{!F1209T}{!F1210T}{!F1211T}{!F1212T}

Note that only ten of the twelve sectors go all the way back to 1927.

Backtest results using all twelve sectors are as follows:

                                  Top 3 of 12 by TR252 (1x)                             Top 3 of 12 by TR252 (3x)
^S5T Avg Min Max SD Avg Min Max SD
CAGR: 9.96 12.18
11.57 12.80 0.34 30.37 27.49 32.76 1.39
TR: 727,648 4,951,918 2,857,459 7,978,739 1,418,335 9,586,677,383,168 760,124,145,664 33,901,691,011,072 8,665,666,420,736
SAWR(20; 0.95): 4.63 7.71 7.12 8.41 0.34 7.18 4.68 9.00 1.11
GSD(20): 20.85 16.85 16.54 17.54 0.22 63.51 61.85 67.16 1.16
DIGSD(20; 0%): 23.25 19.85 19.43 21.01 0.34 80.44 77.74 86.90 1.97
LDD(20; 0%): 13.32 11.05 10.77 11.72 0.20 37.64 36.78 39.99 0.72
LDDD3: 13.51 9.06 8.43 10.04 0.34 26.63 25.22 30.07 1.02
MDD: -84.60 -58.44 -64.49 -53.74 3.15 -96.46 -97.60 -95.08 0.79
UI(20): 21.89 14.34 12.83 15.80 0.79 39.89 35.32 43.57 2.12
Sharpe(20): 0.42 0.62 0.59 0.66 0.02 0.78 0.73 0.82 0.02
Beta(20): 1.00 0.51 0.50 0.52 0.01 1.46 1.43 1.49 0.02
TI(20): 7.96 18.54 17.55 19.73 0.60 23.54 22.13 24.86 0.76
AT: 0.00 2.20 2.12 2.29 0.04 2.29 2.22 2.34 0.03

Total Return for Year Ending:
19271230 35.49 51.21 48.99 53.50 1.21 223.80 211.50 237.13 5.99
19281231 39.23 59.07 51.26 64.73 3.91 254.78 194.78 311.54 31.52
19291231 -8.54 -13.49 -28.68 -7.14 4.71 -66.56 -81.24 -57.17 5.18
19301231 -26.07 2.22 2.22 2.22 0.00 2.22 2.22 2.22 0.00
19311231 -45.45 1.11 1.11 1.11 0.00 1.11 1.11 1.11 0.00
19321230 -8.80 -13.48 -21.61 -5.80 4.53 -45.63 -61.29 -31.31 9.27
19331229 50.51 27.92 13.59 55.40 11.50 33.35 -5.20 100.55 30.75
19341231 -1.00 -2.18 -7.37 1.48 2.44 -10.99 -21.87 1.95 6.63
19351231 45.06 54.70 48.14 59.43 3.33 208.68 152.29 275.56 38.18
19361231 33.09 35.64 31.59 43.62 2.93 105.65 84.31 129.63 12.60
19371231 -35.95 -6.92 -10.28 -2.86 1.88 -24.36 -31.22 -17.11 3.93
19381230 28.56 6.17 3.80 9.21 1.40 18.49 11.37 27.28 4.84
19391229 -0.85 -8.97 -14.58 -3.17 2.58 -23.20 -38.27 -9.05 7.21
19401231 -9.67 -22.51 -26.30 -17.58 2.87 -57.59 -64.28 -49.23 5.09
19411231 -11.51 -12.78 -20.63 -5.97 3.83 -31.60 -45.11 -20.88 6.26
19421231 20.86 20.86 18.99 23.12 1.19 72.55 60.40 82.70 6.16
19431231 26.81 31.51 26.10 36.20 2.92 113.21 89.06 132.69 12.04
19441229 21.23 25.52 23.61 27.53 1.35 91.14 74.26 108.11 7.96
19451231 36.77 41.94 38.41 45.08 1.99 175.61 156.39 189.37 8.35
19461231 -9.24 5.01 -1.02 12.98 4.12 10.33 -7.21 38.62 13.08
19471231 4.81 4.30 2.27 5.88 0.94 9.83 5.13 16.84 3.00
19481231 5.22 -12.06 -16.85 -8.06 2.81 -35.87 -46.80 -26.95 5.99
19491230 18.29 17.80 14.27 19.49 1.32 60.00 46.00 65.93 4.93
19501229 32.75 35.22 33.19 37.93 1.33 123.49 110.75 137.98 6.88
19511231 23.37 17.64 15.49 19.77 1.46 54.18 40.72 66.54 6.84
19521231 18.98 18.32 17.00 20.79 1.03 65.97 58.94 75.65 4.83
19531231 -1.73 -2.29 -4.34 -0.75 1.06 -8.94 -15.29 -4.57 2.93
19541231 52.69 53.24 47.93 59.30 3.76 250.71 231.03 278.65 17.85
19551230 31.02 30.76 19.46 34.26 3.55 97.02 56.41 121.49 19.41
19561231 6.30 3.97 -0.51 9.16 2.64 9.33 -0.26 21.30 5.88
19571231 -10.62 -4.08 -11.03 3.39 3.90 -16.72 -33.89 3.87 10.35
19581231 43.75 30.46 26.15 33.61 1.97 120.83 109.93 135.92 8.53
19591231 12.37 20.12 13.96 22.56 2.33 71.55 48.96 85.29 9.02
19601230 0.86 -4.65 -10.67 2.29 3.78 -13.64 -28.36 2.80 9.66
19611229 27.32 34.71 33.18 37.25 0.96 135.21 114.50 144.65 8.02
19621231 -8.61 -9.61 -19.68 -4.28 3.74 -29.43 -51.15 -16.26 8.71
19631231 22.59 25.22 22.96 27.31 1.44 93.00 83.66 103.08 6.33
19641231 16.68 21.09 17.21 22.98 1.20 72.28 61.83 84.77 7.32
19651231 12.41 15.08 14.12 16.76 0.79 50.81 44.23 56.57 3.46
19661230 -10.10 3.71 -0.82 7.54 1.97 2.28 -10.31 14.42 6.65
19671229 23.56 23.55 18.96 28.49 2.59 79.41 60.49 109.76 11.62
19681231 10.92 9.05 6.09 12.08 1.65 26.47 15.74 36.59 6.00
19691231 -8.34 -11.31 -16.18 -5.72 3.14 -36.05 -45.83 -23.10 6.76
19701231 4.12 17.20 14.84 19.05 1.41 43.98 33.54 50.92 5.69
19711231 14.50 6.70 2.53 9.66 2.30 16.27 3.39 25.04 7.03
19721229 19.15 16.40 13.55 19.72 1.77 57.28 49.48 69.69 5.79
19731231 -14.79 -10.47 -14.70 -3.59 3.25 -33.95 -42.65 -19.86 6.93
19741231 -26.54 7.82 7.82 7.82 0.00 7.82 7.82 7.82 0.00
19751231 37.01 16.39 10.48 23.78 3.62 48.94 28.14 72.47 12.25
19761231 23.97 33.55 28.86 38.32 2.52 119.05 97.74 137.00 12.96
19771230 -7.42 -1.23 -4.72 1.51 1.68 -10.21 -19.27 -3.37 4.39
19781229 6.35 2.89 -0.38 5.70 1.35 0.04 -7.90 6.08 3.54
19791231 18.60 28.73 25.58 33.00 1.74 108.81 89.19 130.92 9.62
19801231 32.58 27.36 19.62 33.70 4.14 87.84 55.20 120.73 20.85
19811231 -4.72 -3.36 -9.56 6.85 4.99 -14.51 -30.39 13.94 13.58
19821231 21.95 24.89 15.66 29.71 3.59 57.47 27.59 79.68 13.04
19831230 22.36 25.03 23.48 27.84 1.50 75.75 62.82 87.80 7.29
19841231 6.33 0.36 -1.41 1.86 1.11 -7.76 -15.52 -2.19 3.59
19851231 31.99 34.60 31.28 36.32 1.47 143.07 134.30 149.38 4.36
19861231 18.26 20.13 17.11 23.68 1.88 60.42 51.18 81.04 8.38
19871231 5.06 -0.15 -7.10 6.58 3.65 -32.24 -43.39 -19.67 6.83
19881230 17.09 6.59 3.04 10.69 2.13 19.88 9.28 27.62 4.88
19891229 31.38 38.42 35.06 41.43 1.55 156.17 144.10 169.48 6.51
19901231 -3.26 -6.58 -13.76 1.37 4.51 -26.78 -43.82 -5.28 12.09
19911231 30.56 28.15 22.60 33.88 2.79 96.03 73.80 121.87 12.00
19921231 7.74 9.11 3.13 11.90 2.46 30.45 10.13 48.29 10.27
19931231 10.00 20.74 17.22 22.73 1.48 71.29 57.52 80.81 5.92
19941230 1.20 -2.46 -6.38 1.37 2.22 -15.13 -23.79 -4.32 5.06
19951229 37.58 43.27 41.46 44.93 0.98 184.19 172.31 191.57 4.90
19961231 23.03 17.55 13.85 21.86 2.13 51.09 35.26 76.06 11.96
19971231 33.50 27.42 21.26 32.33 3.22 91.78 67.26 114.63 14.22
19981231 29.16 23.86 17.68 31.26 3.73 66.08 36.83 89.76 14.43
19991231 20.82 35.79 22.90 52.81 7.51 110.97 76.81 180.57 34.51
20001229 -9.39 -10.30 -21.62 -2.63 5.31 -39.31 -55.34 -24.85 9.30
20011231 -11.61 3.50 3.50 3.50 0.00 3.50 3.50 3.50 0.00
20021231 -21.99 2.20 -0.43 4.36 1.14 3.36 -3.28 9.93 3.32
20031231 28.74 21.55 18.91 25.07 1.76 73.81 54.91 92.33 9.51
20041231 10.88 7.70 2.42 10.94 2.22 19.35 7.72 31.56 5.86
20051230 5.00 18.38 16.95 20.39 0.87 53.96 46.21 61.51 3.80
20061229 15.78 14.96 9.82 20.35 2.49 38.16 19.31 61.48 11.33
20071231 5.64 16.89 13.08 19.55 1.95 42.18 28.09 56.34 8.88
20081231 -36.64 0.60 -2.81 1.63 1.41 -0.90 -10.59 2.28 4.06
20091231 26.18 24.41 19.10 28.59 2.95 82.17 64.90 103.46 10.07
20101231 14.99 9.65 1.07 18.40 5.02 12.96 -8.73 34.61 12.41
20111230 1.74 -12.67 -15.83 -9.31 2.03 -35.25 -42.02 -28.46 4.28
20121231 16.20 14.06 11.68 17.38 1.73 45.29 34.28 61.52 6.94
20131231 32.38 34.41 29.93 38.25 2.01 136.79 113.87 151.71 10.04
20141231 13.67 12.18 9.95 14.12 1.12 34.27 26.33 41.10 3.93
20151231 1.31 -2.29 -7.07 2.56 2.51 -11.09 -23.80 -0.19 6.49
20161230 11.85 -2.08 -8.94 1.81 2.49 -10.91 -25.64 -0.18 7.02
20171229 22.04 19.31 15.67 22.72 2.03 70.48 54.67 84.96 8.65
20181231 -4.33 0.44 -3.76 5.67 2.95 -4.02 -18.28 14.21 8.75
20191231 31.33 12.47 8.75 15.92 1.78 33.42 19.95 46.69 7.72
20200918 4.50 -6.89 -15.33 0.61 3.78 -37.80 -57.04 -20.40 9.02

^S5T (S&P 500 Market Capitalization-Weighted Total Return index): http://gtr1.net/2013/?s19261231::!S5T
Top 3 of 12 by TR252 (1x): http://gtr1.net/2013/?s19261231::BULL:et1:trp%281,252%29tn3:...
Top 3 of 12 by TR252 (3x): http://gtr1.net/2013/?s19261231::BULL:et1:trp%281,252%29tn3:...


Robbie Geary
Print the post  

Announcements

What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.