{"schema":1,"slug":"country-momentum","name":"Country momentum rotation","group":"countries","risk":"high","summary":"Each month hold the five of nineteen country funds that gained most over the past year, skipping the latest month.","hypothetical":true,"label":"Hypothetical. Back-tests and paper records are simulations for education: they are not live results, not investment advice and not a promise of future returns. Daily closes only; paper marks are taken after the close.","asOf":"2026-11-03","builtFrom":{"engine":"pipeline/modelhub/engine.py spec 1.15","scorecard":"pipeline/scorecard.py","rules":"data/strategies/rules.json","rulesVersion":"1","rulesSha":"ba68a51606b72a66","prices":"Tiingo daily closes, ETFIQ total-return index (pipeline/scorecard.load)"},"citation":{"authors":"Asness, C. S., Moskowitz, T. J. and Pedersen, L. H.","year":2013,"title":"Value and Momentum Everywhere","venue":"Journal of Finance 68(3), 929-985","url":"https://doi.org/10.1111/jofi.12021"},"benchmark":{"ticker":"ACWI","name":"iShares MSCI ACWI ETF","from":"2008-03-28","link":"/funds/acwi/"},"universe":[{"ticker":"EWA","name":"iShares MSCI Australia ETF","class":"country-equity","role":"Australia","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.1118,"p95Pct":0.4189,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewa/"},{"ticker":"EWC","name":"iShares MSCI Canada ETF","class":"country-equity","role":"Canada","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on 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inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewh/"},{"ticker":"EWI","name":"iShares MSCI Italy ETF","class":"country-equity","role":"Italy","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.1132,"p95Pct":0.339,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewi/"},{"ticker":"EWJ","name":"iShares MSCI Japan ETF","class":"country-equity","role":"Japan","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.193,"p95Pct":0.6741,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged 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Kingdom","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.2336,"p95Pct":0.6651,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewu/"},{"ticker":"EWW","name":"iShares MSCI Mexico ETF","class":"country-equity","role":"Mexico","signal":null,"firstClose":"1996-04-01","launch":"1996-04-01","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.056,"p95Pct":0.1773,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/eww/"},{"ticker":"EWZ","name":"iShares MSCI Brazil 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Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"EWY","signalOn":"EWY","state":"in","rank":1,"value":0.947274,"distance":0.739829,"distanceUnit":"return points to the cutoff","text":"EWY: ranked 1 of 19, 12-month (skipping the latest 1) return +94.7%: held. Lead over the first fund out: 74.0 points."},{"ticker":"EWT","signalOn":"EWT","state":"in","rank":2,"value":0.818983,"distance":0.611538,"distanceUnit":"return points to the cutoff","text":"EWT: ranked 2 of 19, 12-month (skipping the latest 1) return +81.9%: held. Lead over the first fund out: 61.2 points."},{"ticker":"EWZ","signalOn":"EWZ","state":"in","rank":3,"value":0.267116,"distance":0.05967,"distanceUnit":"return points to the cutoff","text":"EWZ: ranked 3 of 19, 12-month (skipping the latest 1) return +26.7%: held. Lead over the first fund out: 6.0 points."},{"ticker":"EWJ","signalOn":"EWJ","state":"in","rank":4,"value":0.234008,"distance":0.026562,"distanceUnit":"return points to the cutoff","text":"EWJ: ranked 4 of 19, 12-month (skipping the latest 1) return +23.4%: held. Lead over the first fund out: 2.7 points."},{"ticker":"EWN","signalOn":"EWN","state":"in","rank":5,"value":0.212693,"distance":0.005248,"distanceUnit":"return points to the cutoff","text":"EWN: ranked 5 of 19, 12-month (skipping the latest 1) return +21.3%: held. Lead over the first fund out: 0.5 points."},{"ticker":"EWS","signalOn":"EWS","state":"out","rank":6,"value":0.207445,"distance":0.005248,"distanceUnit":"return points to the cutoff","text":"EWS: ranked 6 of 19, 12-month (skipping the latest 1) return +20.7%: not held. Gap to the last fund in: 0.5 points."},{"ticker":"EWP","signalOn":"EWP","state":"out","rank":7,"value":0.198159,"distance":0.014534,"distanceUnit":"return points to the cutoff","text":"EWP: ranked 7 of 19, 12-month (skipping the latest 1) return +19.8%: not held. Gap to the last fund in: 1.5 points."},{"ticker":"EWC","signalOn":"EWC","state":"out","rank":8,"value":0.174726,"distance":0.037968,"distanceUnit":"return points to the cutoff","text":"EWC: ranked 8 of 19, 12-month (skipping the latest 1) return +17.5%: not held. Gap to the last fund in: 3.8 points."},{"ticker":"EWI","signalOn":"EWI","state":"out","rank":9,"value":0.144852,"distance":0.067841,"distanceUnit":"return points to the cutoff","text":"EWI: ranked 9 of 19, 12-month (skipping the latest 1) return +14.5%: not held. Gap to the last fund in: 6.8 points."},{"ticker":"EWU","signalOn":"EWU","state":"out","rank":10,"value":0.12285,"distance":0.089844,"distanceUnit":"return points to the cutoff","text":"EWU: ranked 10 of 19, 12-month (skipping the latest 1) return +12.3%: not held. Gap to the last fund in: 9.0 points."},{"ticker":"EWW","signalOn":"EWW","state":"out","rank":11,"value":0.110255,"distance":0.102438,"distanceUnit":"return points to the cutoff","text":"EWW: ranked 11 of 19, 12-month (skipping the latest 1) return +11.0%: not held. Gap to the last fund in: 10.2 points."},{"ticker":"EWL","signalOn":"EWL","state":"out","rank":12,"value":0.093562,"distance":0.119131,"distanceUnit":"return points to the cutoff","text":"EWL: ranked 12 of 19, 12-month (skipping the latest 1) return +9.4%: not held. Gap to the last fund in: 11.9 points."},{"ticker":"EWA","signalOn":"EWA","state":"out","rank":13,"value":0.088464,"distance":0.12423,"distanceUnit":"return points to the cutoff","text":"EWA: ranked 13 of 19, 12-month (skipping the latest 1) return +8.8%: not held. Gap to the last fund in: 12.4 points."},{"ticker":"EWD","signalOn":"EWD","state":"out","rank":14,"value":0.087286,"distance":0.125407,"distanceUnit":"return points to the cutoff","text":"EWD: ranked 14 of 19, 12-month (skipping the latest 1) return +8.7%: not held. Gap to the last fund in: 12.5 points."},{"ticker":"EWM","signalOn":"EWM","state":"out","rank":15,"value":0.076592,"distance":0.136101,"distanceUnit":"return points to the cutoff","text":"EWM: ranked 15 of 19, 12-month (skipping the latest 1) return +7.7%: not held. Gap to the last fund in: 13.6 points."},{"ticker":"EZA","signalOn":"EZA","state":"out","rank":16,"value":0.067672,"distance":0.145021,"distanceUnit":"return points to the cutoff","text":"EZA: ranked 16 of 19, 12-month (skipping the latest 1) return +6.8%: not held. Gap to the last fund in: 14.5 points."},{"ticker":"EWG","signalOn":"EWG","state":"out","rank":17,"value":0.029598,"distance":0.183095,"distanceUnit":"return points to the cutoff","text":"EWG: ranked 17 of 19, 12-month (skipping the latest 1) return +3.0%: not held. Gap to the last fund in: 18.3 points."},{"ticker":"EWH","signalOn":"EWH","state":"out","rank":18,"value":0.028452,"distance":0.184241,"distanceUnit":"return points to the cutoff","text":"EWH: ranked 18 of 19, 12-month (skipping the latest 1) return +2.8%: not held. Gap to the last fund in: 18.4 points."},{"ticker":"EWQ","signalOn":"EWQ","state":"out","rank":19,"value":-0.013998,"distance":0.226691,"distanceUnit":"return points to the cutoff","text":"EWQ: ranked 19 of 19, 12-month (skipping the latest 1) return \u22121.4%: not held. Gap to the last fund in: 22.7 points."}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"EWY":"ranked 1 of 19 on 12-month (skipping the latest 1) return (+96.2%)","EWT":"ranked 2 of 19 on 12-month (skipping the latest 1) return (+77.5%)","EWZ":"ranked 3 of 19 on 12-month (skipping the latest 1) return (+25.5%)","EWJ":"ranked 4 of 19 on 12-month (skipping the latest 1) return (+22.2%)","EWS":"ranked 5 of 19 on 12-month (skipping the latest 1) return (+22.1%)"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"risk-on"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"EWY","name":"iShares MSCI South Korea ETF","weight":20.532,"link":"/funds/ewy/"},{"ticker":"EWS","name":"iShares MSCI Singapore ETF","weight":20.037,"link":"/funds/ews/"},{"ticker":"EWJ","name":"iShares MSCI Japan ETF","weight":20.023,"link":"/funds/ewj/"},{"ticker":"EWZ","name":"iShares MSCI Brazil ETF","weight":19.808,"link":"/funds/ewz/"},{"ticker":"EWT","name":"iShares MSCI Taiwan ETF","weight":19.6,"link":"/funds/ewt/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"country-momentum","b":"ACWI","window":{"from":"2008-04-04","to":"2026-11-03","firstReturn":"2008-04-11","weeklyReturns":970,"years":18.58,"short":false},"riskFree":{"rate":0.01448178,"perWeek":0.0002784958,"days":4649,"series":"13-week Treasury bill, coupon equivalent, average of daily yields","source":"U.S. Department of the Treasury, Daily Treasury Bill Rates","url":"https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_bill_rates"},"measures":{"total":{"a":0.89410344,"b":3.30507511,"edge":"ACWI","lead":"ACWI"},"annualised":{"a":0.03483504,"b":0.08140057,"edge":"ACWI","lead":"ACWI"},"volatility":{"a":0.21174582,"b":0.18493817,"edge":"ACWI","lead":"ACWI"},"downsideDeviation":{"a":0.15556091,"b":0.1323545,"edge":"ACWI","lead":"ACWI"},"maxDrawdown":{"a":-0.63416927,"b":-0.55314745,"edge":"ACWI","lead":"ACWI","aPeak":"2008-05-16","aTrough":"2009-03-06","bPeak":"2008-05-16","bTrough":"2009-03-06"},"excess":{"a":0.04253116,"b":0.08112173,"edge":"ACWI","lead":"ACWI"},"sharpe":{"a":0.20085949,"b":0.43864245,"edge":"ACWI","lead":"ACWI"},"sortino":{"a":0.27340516,"b":0.61291254,"edge":"ACWI","lead":"ACWI"},"calmar":{"a":0.05493019,"b":0.14715891,"edge":"ACWI","lead":"ACWI"}},"relative":{"country-momentum":{"on":"ACWI","beta":1.04787205,"r2":0.8376063,"alpha":-0.04247404,"alphaT":-2.14477283,"alphaLow":-0.08133681,"alphaHigh":-0.00361127,"upsideCapture":1.02229335,"downsideCapture":1.06579763,"treynor":0.04058812,"trackingError":0.08578761,"informationRatio":-0.44983859,"upWeeks":553,"downWeeks":414,"treynorReference":0.08112173,"edges":{"beta":{"edge":"Higher beta","lead":null,"neutral":true},"r2":{"edge":"Good fit","lead":null,"neutral":true},"alpha":{"edge":"ACWI","lead":"ACWI"},"alphaRange":{"edge":null,"lead":null},"upsideCapture":{"edge":"country-momentum (slight)","lead":"country-momentum"},"downsideCapture":{"edge":"ACWI (slight)","lead":"ACWI"},"treynor":{"edge":"ACWI","lead":"ACWI"},"informationRatio":{"edge":null,"lead":"ACWI","note":"one number for the pair: its sign says which side it favours"},"trackingError":{"edge":null,"lead":null,"neutral":true}}}}},"scorecardListed":null,"erosion":null,"costs":{"basis":"Half the quoted bid/ask spread, charged on the value traded, each way. The 30-day median spread from site/data/trading-cost.json where ETFIQ has one for the fund, else the default for its class. Fund expense ratios are already inside each fund's total return, so no fee is charged twice. Simulated 2x days charge the fund's expense ratio daily.","halfSpreadBpsByFund":{"EWA":4.0,"EWC":4.0,"EWD":4.0,"EWG":4.0,"EWH":4.0,"EWI":4.0,"EWJ":4.0,"EWL":4.0,"EWM":4.0,"EWN":4.0,"EWP":4.0,"EWQ":4.0,"EWS":4.0,"EWT":4.0,"EWU":4.0,"EWW":4.0,"EWY":4.0,"EWZ":4.0,"EZA":4.0},"turnoverPerYear":2.966,"costDragPerYear":0.00254,"totalCostPct":5.42,"grossAnnualised":0.07003,"netAnnualised":0.0675,"taxDragPerYear":null,"taxDragNote":"Not measured: ETFIQ has no lot-level or investor-level tax data. A strategy that trades monthly realises short-term gains."},"skepticInputs":{"paperDays":0,"backtestYears":22.67,"simulatedShare":0.0,"costDragPerYear":0.00254,"turnoverPerYear":2.966,"parameters":4,"largestHoldingPct":20.532,"holdingsCount":5,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"EWP","text":"out of EWP: 20.0% to 0.0%."},{"ticker":"EWZ","text":"into EWZ: 0.0% to 20.0%. ranked 3 of 19 on 12-month (skipping the latest 1) return (+25.5%)."}]},"secondSource":{"method":"independent rebuild: no code shared with the Model Hub engine or the scorecard (QuantStats is not installed in this environment)","agree":true,"checks":[{"name":"allocations well formed","count":273},{"name":"signal dates are month-end closes","count":273,"bad":0},{"name":"independent rebuild of the net series","days":5707,"worstRelativeGap":5.409910273090901e-07,"tolerance":2e-06,"date":"2004-07-16"},{"name":"total return","published":3.397518,"fromPublishedSeries":3.3975180072028897,"independentRebuild":3.3975184443438735,"gap":1.0104423198153967e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.661277,"fromPublishedSeries":-0.643971751608128,"independentRebuild":-0.6612772321077102,"gap":2.321077101630209e-07,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":273,"differing":0},{"name":"benchmark ACWI against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":145064,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}