Robustness of SACEMS Based on Sharpe Ratio [PREMIUM]


This post is by Steve LeCompte from CXO Advisory


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Subscribers have asked whether risk-adjusted returns might work better than raw returns for ranking Simple Asset Class ETF Momentum Strategy (SACEMS) assets. In fact, “Alternative Momentum Metrics for SACEMS?” supports belief that Sharpe ratio beats raw returns. Is this finding strong enough to justify changing the strategy, which each month  selects the best performers over a specified More

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