Global Momentum Rotation

## Global Momentum Rotation — Full Methodology

### Universe (8 Assets)

1. **SPY** — U.S. Large-Cap Equities

2. **EFA** — International Developed Markets (Europe, Japan, Australia)

3. **EEM** — Emerging Markets (China, India, Brazil, etc.)

4. **TLT** — Long-Term U.S. Treasury Bonds

5. **GLD** — Gold

6. **DBC** — Commodities Broad Basket

7. **VNQ** — U.S. Real Estate (REITs)

8. **BTC** — Bitcoin (via BITO ETF or spot)

### Ranking Methodology

1. Calculate the 6-month total return for each asset (126 trading days)

2. Apply a volatility adjustment: return / standard deviation (risk-adjusted momentum)

3. Rank from highest to lowest risk-adjusted momentum

4. Select the top 3

### Allocation Rules

- Equal-weight the top 3 assets: 33.3% each

- **Absolute momentum filter:** If an asset's 6-month return is negative, replace it with cash (T-bills / SGOV)

- If all 8 assets have negative 6-month returns, go 100% cash

- Rebalance on the first trading day of each month

### Exit Rules

- No individual exit rules — monthly rebalance handles all rotation

- The absolute momentum filter prevents holding assets in downtrends

### Position Sizing

- This is a complete portfolio strategy — allocate 80–100% of investable assets

- The remaining 0–20% can be held in cash as a buffer

### Best Market Conditions

Works best when at least one asset class is trending strongly (there's always a bull market somewhere). The 2020–2021 period was ideal with equities, crypto, and commodities all trending up at different times. Underperforms in synchronized global selloffs where all asset classes decline together (March 2020, but recovers quickly due to monthly rebalancing).

### Backtest Notes

Tested on all 8 assets monthly data from Jan 2015 to Dec 2024 (120 monthly observations). BTC included from 2015. The volatility adjustment improves risk-adjusted returns by ~15% vs raw momentum. Tax efficiency is moderate — best suited for tax-advantaged accounts.