AKA
Relative Strength Strategies for Investing
Asset Class Momentum - Rotational System
Paper: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1585517
(The paper linked in the source is the wrong paper.)
This is another simple rule-based strategy that seems to be effective in backtests.
- Measure the M-month trailing returns of a basket of stocks
- Rank the stocks and order the top-K
For this backtest I use M=3, K=1 and the basket of ETFs {SPY, EFA, GLD, AGG, VNQ}.