Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Countries

Country momentum rotation

Based on Asness, Moskowitz & Pedersen, 2013

CountriesRisk onHypotheticalNext rebalance Dec 1, 2026

At the Nov 3, 2026 close Country momentum rotation is risk on and holds EWY 21%, EWS 20%, EWJ 20% and 2 more. Hypothetical back-test since 2008: +3.5% a year against ACWI’s +8.1%, deepest fall −63.4%.

IQ · Nov 3, 2026

Scorecard window, Apr 4, 2008 to Nov 3, 2026

Paper recordNot startedStarts Nov 4, 2026

Back-test, a year+3.5%vs ACWI +8.1%

Max drawdown−63.4%vs ACWI −55.3%

Sharpe0.20vs ACWI 0.44

Turnover297%a year

Funds5held now

Growth of $10,000

Mar 2008 to Nov 3, 2026 · after costs

Nov 3, 2026Back-testStrategy$19,704+97.0%ACWI$44,226+342.3%

$2,000$5,000$10,000$44.2k$19.7k

Mar 2008Dec 2011Sep 2015May 2019Feb 2023Nov 2026

StrategyACWIBack-testPaper record

Drawdown

Fall from the last high

Strategy worst −63.4%ACWI worst −55.3%

−60%−40%−20%0%

Mar 2008Dec 2011Sep 2015May 2019Feb 2023Nov 2026

Rolling 12-month return

+27.6%+13.4%

0%+20%+40%+60%

Nov 2024Jul 2025Mar 2026Nov 2026

Rolling 12-month Sharpe

1.070.98

0.01.02.03.0

Nov 2024Jul 2025Mar 2026Nov 2026

Holdings now

Nov 3, 2026 close

EWYiShares MSCI South Korea ETF20.5%EWSiShares MSCI Singapore ETF20.0%EWJiShares MSCI Japan ETF20.0%EWZiShares MSCI Brazil ETF19.8%EWTiShares MSCI Taiwan ETF19.6%

Signals

Each month hold the five of nineteen country funds that gained most over the past year, skipping the latest month.

5 in · 14 out

Nearest to flipping

FundGainRankDistance to flipState

EWN+21.3%50.5 ptsIn

EWS+20.7%60.5 ptsOut

EWP+19.8%71.5 ptsOut

EWJ+23.4%42.7 ptsIn

EWC+17.5%83.8 ptsOut

FundGainRankDistance to flipState

EWY+94.7%174.0 ptsIn

EWT+81.9%261.2 ptsIn

EWZ+26.7%36.0 ptsIn

EWJ+23.4%42.7 ptsIn

EWN+21.3%50.5 ptsIn

EWS+20.7%60.5 ptsOut

EWP+19.8%71.5 ptsOut

EWC+17.5%83.8 ptsOut

EWI+14.5%96.8 ptsOut

EWU+12.3%109.0 ptsOut

FundGainRankDistance to flipState

EWW+11.0%1110.2 ptsOut

EWL+9.4%1211.9 ptsOut

EWA+8.8%1312.4 ptsOut

EWD+8.7%1412.5 ptsOut

EWM+7.7%1513.6 ptsOut

EZA+6.8%1614.5 ptsOut

EWG+3.0%1718.3 ptsOut

EWH+2.8%1818.4 ptsOut

EWQ−1.4%1922.7 ptsOut

Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

Date	Action	Fund	Price	Weight	Reason	Record
Oct 30, 2026	In	EWZ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Oct 30, 2026	Out	EWP	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 30, 2026	Out	EWZ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 30, 2026	In	EWS	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Sep 30, 2026	Out	EWN	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Sep 30, 2026	In	EWJ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2026	Out	EZA	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jul 31, 2026	In	EWZ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Jul 31, 2026	Out	EWW	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jul 31, 2026	In	EWN	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Jun 30, 2026	Out	EWZ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jun 30, 2026	In	EWW	at close	20.0%	Rule added it. Next close, after costs.	Back-test
May 29, 2026	In	EWP	at close	20.0%	Rule added it. Next close, after costs.	Back-test
May 29, 2026	Out	EWH	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	Out	EWW	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Apr 30, 2026	In	EWH	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Mar 31, 2026	In	EWT	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Mar 31, 2026	Out	EWP	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Feb 27, 2026	In	EWZ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Feb 27, 2026	Out	EWI	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jan 30, 2026	Out	EWZ	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test
Jan 30, 2026	In	EWW	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Dec 31, 2025	In	EWZ	at close	20.0%	Rule added it. Next close, after costs.	Back-test
Dec 31, 2025	Out	EWW	at close	0.0%	Rule dropped it. Next close, after costs.	Back-test

No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3

Dec 2025	Jan 2026	Feb 2026	Mar 2026	Apr 2026	May 2026	Jun 2026	Jul 2026	Aug 2026	Sep 2026	Oct 2026	Nov 2026
6.0	11.0	9.6	−10.2	12.5	6.4	0.0	−5.7	5.8	0.6	−9.1	−0.6

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year	ACWI
2026*	11.0	9.6	−10.2	12.5	6.4	0.0	−5.7	5.8	0.6	−9.1	−0.6		18.4	10.9
2025	0.9	0.9	2.3	3.6	6.3	2.9	−0.1	5.0	1.5	−0.3	2.6	6.0	36.5	20.8
2024	−2.8	1.5	3.0	−4.0	3.8	−1.0	0.7	3.2	1.6	−5.8	−2.2	−1.8	−4.4	19.0
2023	9.2	−5.0	2.0	3.8	−5.0	6.8	3.4	−3.9	−5.2	−3.5	12.0	4.7	18.9	22.3
2022	−4.4	−1.6	3.7	−8.4	3.5	−9.3	3.2	−4.8	−6.4	9.0	6.6	−4.2	−14.2	−18.4
2021	2.5	2.9	3.2	3.2	2.6	−1.4	0.0	2.2	−6.1	3.7	−5.5	4.4	11.6	18.7
2020	−2.5	−5.9	−14.5	7.1	5.8	4.4	5.3	3.3	0.3	−3.3	13.1	7.5	19.0	15.9
2019	8.7	1.1	−0.1	1.8	−2.2	6.4	−0.6	−4.7	1.4	3.3	1.1	5.9	23.7	27.7
2018	5.2	−5.2	0.1	0.7	−8.5	−4.4	2.6	−2.3	1.1	−8.7	−1.2	−3.2	−22.0	−9.6
2017	7.1	1.3	1.2	−0.6	0.6	0.1	4.3	0.0	2.2	0.2	−0.9	0.2	16.6	24.3
2016	−5.8	−4.0	7.7	1.9	−0.9	1.9	4.3	−0.6	3.1	0.5	−2.9	−0.9	3.5	8.4
2015	0.3	2.6	−0.3	5.6	−1.4	−1.8	−0.2	−8.6	−4.3	5.7	−2.0	−2.3	−7.4	−3.9
2014	−4.8	5.5	2.3	1.4	0.6	−0.3	−5.9	−0.5	−8.5	−1.6	−1.1	−4.3	−16.7	6.3
2013	3.5	−2.7	1.3	1.9	−5.2	−5.3	8.1	−2.9	8.8	2.6	0.4	3.0	13.0	23.5
2012	6.1	3.6	0.5	0.4	−8.9	6.9	1.9	1.0	3.3	0.6	2.3	3.7	22.6	15.0
2011	−2.5	−0.5	4.0	5.8	−3.6	−0.8	−4.2	−11.3	−14.9	12.7	−2.3	−2.6	−20.8	−7.8
2010	−7.4	3.0	8.2	0.8	−9.6	−0.7	9.1	−1.6	10.8	3.7	−1.9	10.3	24.7	12.8
2009	−12.1	−10.7	8.8	11.3	13.6	−1.2	11.1	−0.1	6.7	−0.5	6.6	1.9	36.4	37.6
2008	−6.1	0.4	−4.4	7.8	3.0	−10.1	−4.5	−5.4	−15.9	−26.7	−6.2	7.3	−49.6	−37.4
2007	2.6	−1.9	6.4	3.1	6.1	−0.7	−0.8	−2.0	9.0	9.8	−6.7	−0.5	25.5	n/a
2006	10.6	−3.2	1.3	5.8	−10.9	0.3	1.8	1.0	2.0	3.8	4.2	5.0	22.2	n/a
2005	−3.3	8.8	−6.5	−2.9	1.3	3.8	6.5	3.5	11.0	−5.1	7.0	5.7	32.0	n/a
2004			−2.8	−6.8	0.4	2.4	−2.8	3.6	7.0	4.4	11.0	5.9	23.1	n/a

Scorecard

vs ACWI · back-test Apr 4, 2008 to Nov 3, 2026 · after costs

+3.5% a year vs ACWI +8.1%.Max drawdown −63.4% vs −55.3%.

Return

MeasureStrategyACWIEdge

Total return+89.4%+331%ACWI

Annualised+3.5%+8.1%ACWI

Risk

MeasureStrategyACWIEdge

Volatility21.2%18.5%ACWI

Max drawdown−63.4%−55.3%ACWI

Upside capture102.2%100.0%Strategy (slight)

Downside capture106.6%100.0%ACWI (slight)

Beta1.051.00Higher

Risk-adjusted

MeasureStrategyACWIEdge

Sharpe ratio0.200.44ACWI

Sortino ratio0.270.61ACWI

Calmar ratio0.050.15ACWI

Alpha, a year−4.2%n/aSignificant

Costs and taxes

MeasureStrategyACWIEdge

Turnover, a year297%n/a

Cost drag, a year−0.25%n/a

Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.4% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.

t = −2.14Alpha of −4.2% a year is significant, on back-test data.

297%turnover a year. Costs take 0.3 points.

MethodSource, rules, funds and limitsOpen ↓

SourceAsness, C. S., Moskowitz, T. J. and Pedersen, L. H. (2013). Value and Momentum Everywhere. Journal of Finance 68(3), 929-985. ↗

VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies

Exact rules

Each month hold the five of nineteen country funds that gained most over the past year, skipping the latest month.
A rule reads the close of the last trading day of the month and trades at the next close.
The universe is 19 funds; the benchmark is iShares MSCI ACWI ETF (ACWI).
It is checked at each month end.

What we cannot measure

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.

Fund list · 19 funds

EWA EWC EWG EWH EWI EWJ EWL EWD EWN EWP EWQ EWS EWU EWW EWZ EWT EWY EZA EWM

Cite this pageCitation, APA and Markdown

ETFIQ Strategy Lab, Country momentum rotation, data as of Nov 3, 2026. https://etfiq.com/models/strategies/country-momentum/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

Open data Free to use with attribution

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