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On Sept 16th I suggested a momentum ETF, ticker MTUM, as a buy-and-hold alternative to daily trading at noon. History showed that in almost every period during the past 5 years MTUM had beaten SPY. Well, my suggestion couldn’t have had worst timing. Since Sept 16th SPY has dropped by 10.6% while MTUM dropped by 13.3% - a 2.7% excess loss! So buy-and-hold momentum has underperformed during this large fourth quarter drop -- but it shouldn't be discounted. In fact since Jun 2013 MTUM still trounces SPY by 39% compounded ( 101% to 62% ). It's worth reading a recent discussion of momentum (while noting that it's written by Cliff Asness an apologist for momentum) :
https://www.aqr.com/Insights/Perspectives/Fama-on-Momentum Intra-day GDP-based momentum, on the other hand, continues to perform well. During afternoons since Sept 16th SPY dropped 4.4% while SPY-at-noon gained 1.1% with a win ratio of 57%. One might say a 57% success rate "doesn’t impress" but SPY’s every-afternoon win ratio was 45%. During the prior 9-year prior period when SPY-at-noon's success was 69%, the all-afternoons success rate was 56%. So even during this violent SPY drop period trade-SPY-at-noon has maintained its 12-13% win ratio advantage over all afternoons. On the question: Is buy-and-hold-SPY better than trade-SPY at noon? this quarter answers a strong NO (minus 10.6% versus plus 1.1% -- an excess of 11.7%). Over the longer period, however, July 2017 (when I started this blog) through Dec 2018, it's YES (6.7% to 4.1%) albeit with a lot less a lot less effort but a lot more risk.
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