Asset-class momentum rotation
MomentumAdvanced
Asset-class rotation ranks a short list of broad markets, such as equities, bonds, and commodities, on recent relative performance and holds the leaders. It is portfolio-level momentum across asset classes, not a stock-picking decile and not the time-series rule that looks only at an asset's own past return. The output is a small set of positions.
Not investment advice. Nothing here is a recommendation to buy or sell anything. Backtests and historical studies are not guarantees, and a rule that worked in one sample can fail in the next. Trading can lose money. Links are for education, not endorsements. Do your own research.
- Rules
- Define the universe in advance, usually with one liquid fund per asset class. Each month, rank on a published lookback such as 12 months and hold the top one to three in equal weight, or weight by inverse volatility. Move to cash, if the rules say so, when every asset's return is below a hurdle. Rebalance on a calendar, not when a headline changes your mind.
- Where AI fits
- AI can enforce a point-in-time fund list and a single lookback, and it can report turnover and overlap with a time-series momentum rule on the same assets. If the holdings match, you do not have a second system. The model should not add a new asset class because it would have helped last year.
- Markets
- Broad ETFs or futures across equities, rates, commodities, and sometimes credit. Leveraged and inverse funds do not belong in the list unless the rule says so.
- Timeframes
- Monthly.
- Risks
- With so few assets, one regime dominates. Relative strength still buys last year's winner late. Backtests that use today's ETF menu for decades are not executable history. Cash hurdles and lookbacks are easy to mine.