We think, each of us, that we’re much more rational than we are. And we think that we make our decisions because we have good reasons to make them even when it’s the other way around. We believe in the reasons, because we’ve already made the decision.” Daniel Kahneman

My ETF momentum trading in April produced a very respectable return of 4.6%.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to the performance of a passive global ETF strategy.

Pure Momentum Passive Global ETF

The passive global portfolio is constructed with ETF allocations as per the table below.

ETF Passive Global Portfolio

The basis for the composition of this global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

 Pure Momentum vs All ETF

Had I invested $100,000 equally in the ETF’s that I select from I would have a gain of $3,912 versus the $9,165 gain that my momentum strategy generated. So far, it is fair to say that my momentum strategy is adding value.

Finally, I compare my performance against a professionally managed fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

 Pure Momentum vs Cambria Global Momentum

You can always check on the performance of Pure Momentum by going here. To my Collective2 subscribers, I hope you are pleased with my trading results and are able to overcome investing’s greatest challenge – sticking to a strategy.

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“We’re blind to our blindness. We have very little idea of how little we know. We’re not designed to know how little we know.” Daniel Kahneman

My trading in March produced an essentially flat return of -0.1%.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to the performance of a passive global ETF strategy.

Pure Momentum Passive Global ETF

The passive global portfolio is constructed with ETF’s with allocations as per the table below.

ETF Passive Global PortfolioThe basis for the composition of this global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

Pure Momentum vs All ETF

Had I invested $100,000 equally in the ETF’s that I select from I would have a loss of $97 versus the $4,255 gain that my momentum strategy generated. Five months is a meaningless time period to perform an evaluation over but I like what I see here.

Finally, I compare my performance against a professionally run fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

Pure Momentum vs Cambria Global Momentum

Again, the time period is very short but at the very least I am keeping pace with a professionally managed fund.

You can always check on the performance of Pure Momentum with statistics provided by Collective2 by going here.

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Good Reads for March

March 30, 2015

Here are some of best the articles I read this month:

If you haven’t listened to Barry Ritholtz interview Charlie Ellis in his Masters in Business podcast then I highly recommend that you download it.

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“The great strategy you can’t stick with is obviously vastly inferior to the very good strategy you can stick with.” Cliff Asness

For my Pure Momentum strategy, it was a case of what went up in January came down in February. The 5.5% gain in January was followed by a 4.2% decline in February.  US treasuries provided the gain and the subsequent fall.

I gauge the performance of my ETF momentum trading system in a number of ways.  First I compare it to a passive global ETF strategy.

Pure Momentum Passive Global ETFThe passive global portfolio is constructed with ETF’s based on weights as per the table below.

ETF Passive Global PortfolioThe basis for the composition of my global portfolio is a research paper written by Ronald Doeswijk and others as discussed at Gestaltu.

My trading system has performed much better than the passive global portfolio so I like to ensure that ETF selection bias is not at play.  That is, my system may have outperformed simply because it includes ETF’s that are performing well overall. To check against selection bias and to get a sense of the value that my momentum strategy is adding, I compare the performance of Pure Momentum to the average of the ETF’s in the basket that I select from.

Pure Momentum vs All ETFHad I invested $100,000 equally in the ETF’s that I select from I would have a gain of $553 versus the $4,295 gain that my momentum strategy generated. Four months is a meaningless time period to perform an evaluation over but I like what I see here.

Finally, I compare my performance against a professionally run fund that employs a similar momentum strategy applied to asset classes. Cambria Global Momentum ETF has a strategy that is very similar to the one behind Pure Momentum.

Pure Momentum vs Cambria Global MomentumI am pleased with the performance of my ETF momentum strategy so far and am very comfortable with the logic behind it.  You can always check on the performance of Pure Momentum by going here.

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