- ETFIQ tests 13 rule-based ETF strategies on past prices and tracks them on paper from Nov 4, 2026. Each rule is published with its source paper and what the build cannot measure. Everything is hypothetical.
The rules and their sources
| Strategy | Rule | Source | Link |
|---|---|---|---|
| Country momentum rotation | Each month hold the five of nineteen country funds that gained most over the past year, skipping the latest month. | Asness, C. S., Moskowitz, T. J. and Pedersen, L. H. (2013). Value and Momentum Everywhere. Journal of Finance 68(3), 929-985. | Paper |
| Country value plus momentum | 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. | Asness, C. S., Moskowitz, T. J. and Pedersen, L. H. (2013). Value and Momentum Everywhere. Journal of Finance 68(3), 929-985. | Paper |
| Dual momentum | Hold US stocks or foreign stocks, whichever gained more over 12 months, if they beat T-bills. Otherwise hold bonds. | Antonacci, G. (2014). Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk. McGraw-Hill (book); working paper: Risk Premia Harvesting Through Dual Momentum, SSRN 2042750 (2012). | Paper |
| Income rotation with a return-of-capital guard | Each month hold the four highest-yielding of ten income funds whose price has not fallen more than 5% in a year. | ETFIQ measures (2026). Income rotation with a return-of-capital guard. ETFIQ. | ETFIQ rule |
| Leverage with a trend filter | Hold each 2x single-stock fund while its stock trades above its 200-day average, else hold cash. | Gayed, M. A. and Bilello, C. V. (2016). Leverage for the Long Run: A Systematic Approach to Managing Risk and Magnifying Returns in Stocks. SSRN 2741701. | Paper |
| Multi-asset time-series momentum | Hold each of ten assets that rose over 12 months, sized so each carries similar risk. The rest sits in cash. | Moskowitz, T. J., Ooi, Y. H. and Pedersen, L. H. (2012). Time Series Momentum. Journal of Financial Economics 104(2), 228-250. | Paper |
| Protective allocation | Hold the six strongest of twelve assets. When fewer than half are rising, move the rest to Treasuries. | Keller, W. J. and Keuning, J. W. (2016). Protective Asset Allocation (PAA): A Simple Momentum-Based Alternative for Term Deposits. SSRN 2759734. | Paper |
| Risk parity (all-weather) | Hold five asset classes in proportion to the inverse of their recent swings, so each adds similar risk. | Qian, E. (2011). Risk Parity and Diversification. Journal of Investing 20(1), 119-127. | Paper |
| Sector momentum rotation | Each month hold the three of nine US sectors that gained most over six months. | Jegadeesh, N. and Titman, S.; Moskowitz, T. J. and Grinblatt, M. (1993; 1999). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency; Do Industries Explain Momentum?. Journal of Finance 48(1), 65-91; Journal of Finance 54(4), 1249-1290. | Paper 1 Paper 2 |
| Single-stock leveraged momentum | Each month hold the three 2x single-stock funds whose stocks gained most over six months, if they gained at all. | ETFIQ rule built on Jegadeesh, N. and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance 48(1), 65-91. | Paper |
| 60/40 with rebalancing bands | Hold 60% US stocks and 40% bonds. Trade back only when a holding drifts 5 points from its target. | ETFIQ baseline (2026). The 60/40 mix with a 5-point rebalancing band. ETFIQ. | ETFIQ rule |
| Trend following | Hold each of five asset classes while it trades above its 10-month average, else hold cash. | Faber, M. (2007). A Quantitative Approach to Tactical Asset Allocation. Journal of Wealth Management 9(4), 69-79. | Paper |
| Volatility-capped leverage | Hold an equal mix of eight 2x single-stock funds, shrunk toward cash when the mix's recent swings pass a cap. | Moreira, A. and Muir, T. (2017). Volatility-Managed Portfolios. Journal of Finance 72(4), 1611-1644. | Paper |
How a back-test is run
- A rule reads the close of the last trading day of the month and trades at the next close.
- Each trade pays half the quoted spread on the value traded. Fund fees are already inside each fund’s total return.
- The back-test starts when every fund the rule reads has history. No window a fund’s history does not fill.
- A 2x fund’s days before it listed are simulated from its stock, calibrated on its real days, and flagged.
- Paper tracking starts on the first trading day after launch. Each night appends one record that is never rewritten.
- A second, independent rebuild checks every result each night.
What we cannot measure
Country momentum rotation
- The paper ranks stock indexes of 18 countries and trades long and short; this holds the top five long only, through iShares country funds.
- Funds for India and China start later and are left out.
Country value plus momentum
- 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. This is not Keimling's measure.
- Taxes.
Dual momentum
- Antonacci tests the S&P 500 index and MSCI ACWI ex-US index; the ETFs here start later.
- Taxes on each switch.
Income rotation with a return-of-capital guard
- Past return-of-capital shares are not on file for most funds. The back-test guards with the price erosion test; the paper record adds each fund's latest filed return-of-capital share when ETFIQ has one (data/tax.json, dated).
- Taxes, which for income funds are material.
Leverage with a trend filter
- The paper applies the filter to a 3x S&P 500 index; this applies it to single-stock 2x funds, which no paper tests.
- Simulated days do not charge the financing cost of the borrowed half or swap spreads, so they run high.
- Taxes.
Multi-asset time-series momentum
- The paper trades futures long and short; these funds are long only, so a falling asset goes to cash, never short.
- Taxes.
Protective allocation
- Keller and Keuning pick the safe asset as the better of 10-year Treasuries and cash; this version holds Treasuries, with cash when they are unavailable.
- Taxes.
- Keller and Keuning test several top-N and protection settings; this uses top 6 of 12 and protection 2.
Risk parity (all-weather)
- Qian's portfolios use risk contributions with correlations and may use leverage; this uses inverse volatility, unlevered.
- Taxes.
Sector momentum rotation
- Communications and Real estate sector funds (XLC, XLRE) are left out because their histories start in 2018 and 2015: a window every fund covers.
- Taxes on each rotation.
Single-stock leveraged momentum
- A rule ETFIQ built, not a published paper's. It applies stock momentum to 2x funds.
- Simulated days do not charge the financing cost of the borrowed half or swap spreads, so they run high.
- Taxes.
60/40 with rebalancing bands
- Taxes.
Trend following
- Faber's index series (S&P 500, MSCI EAFE, GSCI, NAREIT, 10-year Treasury) are replaced by the ETFs above, which start later and carry fees.
- Taxes and short-term gains on each switch.
Volatility-capped leverage
- The paper scales a stock index by last month's variance; this scales an equal mix of 2x stock funds by last month's volatility, a change ETFIQ made.
- Simulated days do not charge the financing cost of the borrowed half or swap spreads, so they run high.
- Taxes.