Post 29. My report on the death of Momentum was greatly mistaken

Last September I suggested buying a momentum ETF, such as MTUM (10 billion dollar in assets), rather than SPY for those investors who prefer buy-and-hold. My post showed how MTUM had dramatically outperformed SPY in the previous 5 years. Embarrassingly in December I had to report that SPY outperformed MTUM in the last quarter - plus SPY won again in the first quarter of 2019.

But those two weak quarters (-4.38%) are less than MTUM’s better performance since then (5.09%). In fact quarter-by-quarter comparisons show MTUM outperforming SPY in 17  of the last 24 quarters. The table below has other tidbits. For instance, one might assume that MTUM is weak in down markets yet only once in the 5 down quarters of SPY (compare columns 2 and 6 ) was MTUM weaker than SPY. 

But we can’t ignore the fourth quarter of 2016 when MTUM  underperformed SPY by 5.40%. This quarter contributed importantly to the T-test on column 6  saying the differences in this sample are not significant -- but just barely with T=1.93 .
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Regardless of formal significance (or 4th quarter of 2016) I am overwhelmed by the net returns. The last row of columns 3 and 5 show that compounded quarterly, SPY has returned 88% over the last 24 quarters (6 years) while MTUM has returned 132% - an excess return of 44% !! 

Although my investment strategies are severely “labor-intensive” (to quote a friend) I do have some buy-and-hold investments. These numbers compel me to move the S&P portion of those investments  into MTUM.