Credit Suisse Global Investment Returns Yearbook

The 2015 edition of the Credit Suisse Global Investment Returns Yearbook is now available here. Trust me, this is a publication you definitely want to download. If you have any concerns about the persistance of momentum over the course of history, turn to page 12 and look at Figure 8 which covers the 1900-2014 period. My way of investing by using the momentum factor has a very solid record as you will see.


If you follow the markets, you know that US treasuries were strong performers in 2014 but have taken a hit so far this month. You also know that US stocks have continued to performed very well, beating almost everyone’s expectations. If you are wondering how some of the major asset classes rank by momentum today, I can help.

One of the common methods of ranking asset classes is performed by comparing the average of the trailing 3-month, 6-month, 9-month and 12-month returns. That is the method I used to rank the asset classes in the following chart.

Asset Class Trailing Returns

Despite the 5.1% decline in long term US treasury ETFs last week, this asset class is still the highest ranked in terms of momentum.


If the saying in the investing community that “As goes January, so goes the rest of the year” holds true, it will be a heck of a year for my ETF momentum strategy. As can be verified here, my investing strategy posted a superb 5.5% return in January.

My benchmark for this strategy is Cambria Investment Management’s Global Momentum ETF (co-managed by Meb Faber). As per the chart below, I am well ahead of Cambria’s momentum ETF but we have to keep in the mind the very short time frame.

ETF Momentum Rotation Asset Allocation

I believe it is also useful to compare an ETF investment strategy performance against passive global ETF portfolios.

ETF Momentum Rotation Asset Allocation 2

The passive global portfolio used in the comparison above is constructed from ETF’s as presented in the table below.

ETF Momentum Rotation Asset Allocation 3

For folks who consider whether my strategy is able to add alpha, calculations based on using the passive global portfolio as the benchmark determine that it has generated an annualized alpha of 4.5%.

Pure Momentum Alpha

My ETF momentum strategy has had a fantastic start but I realize that, as per Van Tharp’s marble experiment, I just picked three green marbles (positive monthly returns) out of a bag.  For the next three months I could pick out three red marbles (negative monthly returns). As stated before, I have full confidence in my strategy and have allocated all my investment funds to it. Additionally I use leverage so I have enjoyed even better returns than Pure Momentum.



High School Scholarship

January 13, 2015

As I noted in this post, I made a personal pledge to “give back” all money I received in the form of scholarships and a fellowship while in university.  In the picture below, I am with three of the 2014 scholarship recipients from Botwood Collegiate.