{"schema":1,"slug":"country-value-momentum","name":"Country value plus momentum","group":"countries","risk":"high","summary":"Each month hold the five country funds that rank best on cheapness and past-year gain combined. Cheapness is ETFIQ's own stand-in: dividend yield and 5-year price decline, not CAPE or earnings.","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","note":"Replaces the earlier Keimling 2016 citation: Keimling (SSRN 2736423) is a CAPE value-indicator paper and does not combine value with momentum across countries."},"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 file)","premium":{"medianPct":0.0306,"p95Pct":0.1125,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewc/"},{"ticker":"EWG","name":"iShares MSCI Germany ETF","class":"country-equity","role":"Germany","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":0.1116,"p95Pct":0.3659,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewg/"},{"ticker":"EWH","name":"iShares MSCI Hong Kong ETF","class":"country-equity","role":"Hong Kong","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":0.2593,"p95Pct":0.6622,"note":"a premium or discount is already 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 again"},"link":"/funds/ewj/"},{"ticker":"EWL","name":"iShares MSCI Switzerland ETF","class":"country-equity","role":"Switzerland","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":0.0868,"p95Pct":0.253,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewl/"},{"ticker":"EWD","name":"iShares MSCI Sweden ETF","class":"country-equity","role":"Sweden","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":0.1436,"p95Pct":0.348,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewd/"},{"ticker":"EWN","name":"iShares MSCI Netherlands ETF","class":"country-equity","role":"Netherlands","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":0.1309,"p95Pct":0.4479,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewn/"},{"ticker":"EWP","name":"iShares MSCI Spain ETF","class":"country-equity","role":"Spain","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":0.1797,"p95Pct":0.4866,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewp/"},{"ticker":"EWQ","name":"iShares MSCI France ETF","class":"country-equity","role":"France","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":0.1619,"p95Pct":0.4926,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewq/"},{"ticker":"EWS","name":"iShares MSCI Singapore ETF","class":"country-equity","role":"Singapore","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":0.175,"p95Pct":0.648,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ews/"},{"ticker":"EWU","name":"iShares MSCI United Kingdom ETF","class":"country-equity","role":"United 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 ETF","class":"country-equity","role":"Brazil","signal":null,"firstClose":"2000-07-14","launch":"2000-07-14","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.1247,"p95Pct":0.3556,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewz/"},{"ticker":"EWT","name":"iShares MSCI Taiwan ETF","class":"country-equity","role":"Taiwan","signal":null,"firstClose":"2000-06-23","launch":"2000-06-23","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.2567,"p95Pct":0.9249,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewt/"},{"ticker":"EWY","name":"iShares MSCI South Korea ETF","class":"country-equity","role":"South Korea","signal":null,"firstClose":"2000-05-12","launch":"2000-05-12","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.597,"p95Pct":2.6398,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewy/"},{"ticker":"EZA","name":"iShares MSCI South Africa ETF","class":"country-equity","role":"South Africa","signal":null,"firstClose":"2003-02-07","launch":"2003-02-07","simulatedUntil":null,"halfSpreadBps":4.0,"spreadSource":"default for country-equity (no spread on file)","premium":{"medianPct":0.214,"p95Pct":0.7758,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/eza/"},{"ticker":"EWM","name":"iShares MSCI Malaysia ETF","class":"country-equity","role":"Malaysia","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":0.3212,"p95Pct":0.854,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/ewm/"}],"rules":{"op":"value_momentum","params":{"momentumMonths":12,"skipMonths":1,"topN":5,"momentumWeight":0.5,"value":[{"measure":"dividend_yield_12m","weight":0.25},{"measure":"price_reversal_60m","weight":0.25}]},"rebalance":{"calendar":"monthly"},"paperTradeTiming":"A rule reads the close of the last trading day of the month and trades at the next close."},"hindsightWarning":null,"cannotMeasure":["Keimling ranks countries on CAPE, price to earnings, book value and cash flow. ETFIQ holds none of those for country funds, so value is measured by two stand-ins: the fund's trailing 12-month dividend yield and its 5-year price decline. 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held"},{"ticker":"EWT","state":"in","rank":5,"value":8.75,"distance":null,"distanceUnit":"none","momentum":0.818983,"yield12m":0.028657,"return60m":0.540524,"text":"EWT: combined rank 5 of 19 (momentum 2, yield 15, 5-year decline 16): held"},{"ticker":"EWY","state":"out","rank":6,"value":9.5,"distance":null,"distanceUnit":"none","momentum":0.947274,"yield12m":0.013137,"return60m":0.95044,"text":"EWY: combined rank 6 of 19 (momentum 1, yield 18, 5-year decline 18): not held"},{"ticker":"EWM","state":"out","rank":7,"value":9.75,"distance":null,"distanceUnit":"none","momentum":0.076592,"yield12m":0.037073,"return60m":0.050371,"text":"EWM: combined rank 7 of 19 (momentum 15, yield 7, 5-year decline 2): not held"},{"ticker":"EWH","state":"out","rank":8,"value":9.75,"distance":null,"distanceUnit":"none","momentum":0.028452,"yield12m":0.04615,"return60m":-0.078439,"text":"EWH: combined rank 8 of 19 (momentum 18, yield 2, 5-year decline 1): not held"},{"ticker":"EWD","state":"out","rank":9,"value":10.25,"distance":null,"distanceUnit":"none","momentum":0.087286,"yield12m":0.034143,"return60m":0.076136,"text":"EWD: combined rank 9 of 19 (momentum 14, yield 8, 5-year decline 5): not held"},{"ticker":"EWI","state":"out","rank":10,"value":11.0,"distance":null,"distanceUnit":"none","momentum":0.144852,"yield12m":0.033274,"return60m":0.650176,"text":"EWI: combined rank 10 of 19 (momentum 9, yield 9, 5-year decline 17): not held"},{"ticker":"EWU","state":"out","rank":11,"value":11.0,"distance":null,"distanceUnit":"none","momentum":0.12285,"yield12m":0.031614,"return60m":0.399822,"text":"EWU: combined rank 11 of 19 (momentum 10, yield 11, 5-year decline 13): not held"},{"ticker":"EZA","state":"out","rank":12,"value":11.0,"distance":null,"distanceUnit":"none","momentum":0.067672,"yield12m":0.080116,"return60m":0.310718,"text":"EZA: combined rank 12 of 19 (momentum 16, yield 1, 5-year decline 11): not held"},{"ticker":"EWP","state":"out","rank":13,"value":11.5,"distance":null,"distanceUnit":"none","momentum":0.198159,"yield12m":0.02925,"return60m":1.004579,"text":"EWP: combined rank 13 of 19 (momentum 7, yield 13, 5-year decline 19): not held"},{"ticker":"EWA","state":"out","rank":14,"value":11.5,"distance":null,"distanceUnit":"none","momentum":0.088464,"yield12m":0.029178,"return60m":0.102768,"text":"EWA: combined rank 14 of 19 (momentum 13, yield 14, 5-year decline 6): not held"},{"ticker":"EWW","state":"out","rank":15,"value":11.75,"distance":null,"distanceUnit":"none","momentum":0.110255,"yield12m":0.032985,"return60m":0.530412,"text":"EWW: combined rank 15 of 19 (momentum 11, yield 10, 5-year decline 15): not held"},{"ticker":"EWC","state":"out","rank":16,"value":12.25,"distance":null,"distanceUnit":"none","momentum":0.174726,"yield12m":0.012463,"return60m":0.520071,"text":"EWC: combined rank 16 of 19 (momentum 8, yield 19, 5-year decline 14): not held"},{"ticker":"EWL","state":"out","rank":17,"value":12.75,"distance":null,"distanceUnit":"none","momentum":0.093562,"yield12m":0.016956,"return60m":0.257774,"text":"EWL: combined rank 17 of 19 (momentum 12, yield 17, 5-year decline 10): not held"},{"ticker":"EWQ","state":"out","rank":18,"value":13.5,"distance":null,"distanceUnit":"none","momentum":-0.013998,"yield12m":0.030922,"return60m":0.058472,"text":"EWQ: combined rank 18 of 19 (momentum 19, yield 12, 5-year decline 4): not held"},{"ticker":"EWG","state":"out","rank":19,"value":14.5,"distance":null,"distanceUnit":"none","momentum":0.029598,"yield12m":0.019771,"return60m":0.212803,"text":"EWG: combined rank 19 of 19 (momentum 17, yield 16, 5-year decline 8): not held"}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"EWZ":"combined rank 1 of 19: momentum rank 3 (+25.5%), yield rank 3 (4.5%), 5-year decline rank 5 (+10.7%)","EWS":"combined rank 2 of 19: momentum rank 5 (+22.1%), yield rank 5 (3.9%), 5-year 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ETF","weight":19.808,"link":"/funds/ewz/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"country-value-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":1.13051099,"b":3.30507511,"edge":"ACWI","lead":"ACWI"},"annualised":{"a":0.0413805,"b":0.08140057,"edge":"ACWI","lead":"ACWI"},"volatility":{"a":0.20666852,"b":0.18493817,"edge":"ACWI","lead":"ACWI"},"downsideDeviation":{"a":0.15244794,"b":0.1323545,"edge":"ACWI","lead":"ACWI"},"maxDrawdown":{"a":-0.60504558,"b":-0.55314745,"edge":"ACWI 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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":3.594,"costDragPerYear":0.003,"totalCostPct":5.4084,"grossAnnualised":0.04609,"netAnnualised":0.04309,"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":18.67,"simulatedShare":0.0,"costDragPerYear":0.003,"turnoverPerYear":3.594,"parameters":5,"largestHoldingPct":20.108,"holdingsCount":5,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[{"ticker":"EWM","text":"into EWM: 0.0% to 20.0%. combined rank 5 of 19: momentum rank 12 (+9.7%), yield rank 7 (3.7%), 5-year decline rank 2 (+2.4%)."},{"ticker":"EZA","text":"out of EZA: 20.0% to 0.0%."}]},"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":225},{"name":"signal dates are month-end closes","count":225,"bad":0},{"name":"independent rebuild of the net series","days":4699,"worstRelativeGap":1.0003268284819455e-06,"tolerance":2e-06,"date":"2009-03-20"},{"name":"total return","published":1.198117,"fromPublishedSeries":1.1981162464986022,"independentRebuild":1.1981166010933229,"gap":3.4279415328519747e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.617512,"fromPublishedSeries":-0.6050455034810757,"independentRebuild":-0.6175121605185122,"gap":1.6051851225995506e-07,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":225,"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"}}