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

Strategy Lab · Countries

Country value plus momentum

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Based on Asness, Moskowitz & Pedersen, 2013
CountriesRisk onHypotheticalNext rebalance Dec 1, 2026
Put to the committee
IQ

At the Nov 3, 2026 close Country value plus momentum is risk on and holds EWN 20%, EWS 20%, EWM 20% and 2 more. Hypothetical back-test since 2008: +4.1% a year against ACWI’s +8.1%, deepest fall −60.5%.

IQ · Nov 3, 2026
Scorecard window, Apr 4, 2008 to Nov 3, 2026
Paper recordNot startedStarts Nov 4, 2026
Back-test, a year+4.1%vs ACWI +8.1%
Max drawdown−60.5%vs ACWI −55.3%
Sharpe0.23vs ACWI 0.44
Turnover359%a year
Funds5held now

Growth of $10,000

Mar 2008 to Nov 3, 2026 · after costs
Nov 3, 2026Back-testStrategy$22,161+121.6%ACWI$44,226+342.3%
StrategyACWIBack-testPaper record

Drawdown

Fall from the last high
Strategy worst −60.5%ACWI worst −55.3%

Rolling 12-month return

+28.2%+13.4%

Rolling 12-month Sharpe

1.310.98

Holdings now

Nov 3, 2026 close
EWNiShares MSCI Netherlands ETF20.1%EWSiShares MSCI Singapore ETF20.0%EWMiShares MSCI Malaysia ETF20.0%EWJiShares MSCI Japan ETF20.0%EWZiShares MSCI Brazil ETF19.8%

Signals

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.
5 in · 14 out
Nearest to flipping
FundRank scoreRankDistance to flipState
EWZ3.01no flipIn
EWN5.22no flipIn
EWJ6.53no flipIn
EWS6.54no flipIn
EWT8.85no flipIn
FundRank scoreRankDistance to flipState
EWZ3.01no flipIn
EWN5.22no flipIn
EWJ6.53no flipIn
EWS6.54no flipIn
EWT8.85no flipIn
EWY9.56no flipOut
EWM9.87no flipOut
EWH9.88no flipOut
EWD10.29no flipOut
EWI11.010no flipOut
FundRank scoreRankDistance to flipState
EWU11.011no flipOut
EZA11.012no flipOut
EWP11.513no flipOut
EWA11.514no flipOut
EWW11.815no flipOut
EWC12.216no flipOut
EWL12.817no flipOut
EWQ13.518no flipOut
EWG14.519no flipOut
Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

DateActionFundPriceWeightReasonRecord
Oct 30, 2026OutEZAat close0.0%Rule dropped it. Next close, after costs.Back-test
Oct 30, 2026InEWMat close20.0%Rule added it. Next close, after costs.Back-test
Sep 30, 2026InEZAat close20.0%Rule added it. Next close, after costs.Back-test
Sep 30, 2026OutEWWat close0.0%Rule dropped it. Next close, after costs.Back-test
Sep 30, 2026OutEWTat close0.0%Rule dropped it. Next close, after costs.Back-test
Sep 30, 2026InEWSat close20.0%Rule added it. Next close, after costs.Back-test
Aug 31, 2026OutEZAat close0.0%Rule dropped it. Next close, after costs.Back-test
Aug 31, 2026InEWWat close20.0%Rule added it. Next close, after costs.Back-test
Jul 31, 2026OutEWWat close0.0%Rule dropped it. Next close, after costs.Back-test
Jul 31, 2026InEWTat close20.0%Rule added it. Next close, after costs.Back-test
Jul 31, 2026InEWNat close20.0%Rule added it. Next close, after costs.Back-test
Jul 31, 2026OutEWHat close0.0%Rule dropped it. Next close, after costs.Back-test
Jun 30, 2026InEWWat close20.0%Rule added it. Next close, after costs.Back-test
Jun 30, 2026OutEWTat close0.0%Rule dropped it. Next close, after costs.Back-test
Jun 30, 2026OutEWMat close0.0%Rule dropped it. Next close, after costs.Back-test
Jun 30, 2026InEWJat close20.0%Rule added it. Next close, after costs.Back-test
Apr 30, 2026OutEWNat close0.0%Rule dropped it. Next close, after costs.Back-test
Apr 30, 2026InEWMat close20.0%Rule added it. Next close, after costs.Back-test
Feb 27, 2026OutEWYat close0.0%Rule dropped it. Next close, after costs.Back-test
Feb 27, 2026InEWNat close20.0%Rule added it. Next close, after costs.Back-test
Jan 30, 2026InEWTat close20.0%Rule added it. Next close, after costs.Back-test
Jan 30, 2026OutEWNat close0.0%Rule dropped it. Next close, after costs.Back-test
Dec 31, 2025InEWZat close20.0%Rule added it. Next close, after costs.Back-test
Dec 31, 2025OutEWWat close0.0%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
3.912.910.8−7.58.50.2−3.22.94.60.2−6.8−0.5
JanFebMarAprMayJunJulAugSepOctNovDecYearACWI
2026*12.910.8−7.58.50.2−3.22.94.60.2−6.8−0.521.810.9
20252.02.32.02.26.24.01.26.94.8−0.32.73.944.920.8
2024−3.31.53.0−3.93.8−1.92.83.82.3−4.3−1.0−1.80.519.0
20238.9−5.01.33.4−5.06.83.3−5.2−4.2−2.910.95.317.022.3
2022−2.3−1.95.3−8.82.9−10.04.0−4.8−6.56.49.7−2.8−10.4−18.4
20211.13.02.94.25.1−2.00.30.9−6.00.6−6.47.110.218.7
2020−2.0−6.4−22.55.64.45.14.71.5−0.4−1.512.58.24.715.9
20198.41.50.13.1−3.05.9−2.2−4.01.64.20.73.620.927.7
20186.9−4.41.8−0.6−8.6−5.33.4−2.70.8−8.2−0.1−2.4−18.8−9.6
20176.81.32.60.4−0.50.15.10.00.9−0.2−0.20.117.624.3
2016−7.2−3.49.21.1−3.84.63.3−1.02.20.5−5.91.0−0.48.4
2015−2.73.9−1.45.7−3.5−2.0−2.6−7.4−4.04.4−2.2−3.0−14.5−3.9
2014−3.85.01.62.60.50.4−3.60.2−9.40.10.2−3.7−10.16.3
20133.3−1.6−1.75.2−2.8−5.39.5−2.69.15.90.02.722.423.5
20126.03.8−0.80.5−9.16.62.71.42.30.82.93.521.615.0
2011−2.30.64.25.9−2.1−1.4−4.3−9.9−15.211.7−3.0−2.1−18.8−7.8
2010−7.43.06.50.4−10.7−1.611.8−1.812.12.1−1.79.821.412.8
2009−13.0−9.68.212.311.0−2.110.8−0.26.6−0.67.61.332.737.6
2008−0.36.3−0.3−10.9−2.9−5.8−14.9−20.2−5.67.8−40.4−37.4

Scorecard

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

+4.1% a year vs ACWI +8.1%.Max drawdown −60.5% vs −55.3%.
Return
MeasureStrategyACWIEdge
Total return+113%+331%ACWI
Annualised+4.1%+8.1%ACWI
Risk
MeasureStrategyACWIEdge
Volatility20.7%18.5%ACWI
Max drawdown−60.5%−55.3%ACWI (slight)
Upside capture98.7%100.0%Tie
Downside capture104.3%100.0%ACWI (slight)
Beta1.011.00Higher
Risk-adjusted
MeasureStrategyACWIEdge
Sharpe ratio0.230.44ACWI
Sortino ratio0.310.61ACWI
Calmar ratio0.070.15ACWI
Alpha, a year−3.4%n/aNot significant
Costs and taxes
MeasureStrategyACWIEdge
Turnover, a year359%n/a
Cost drag, a year−0.30%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 = −1.67Alpha of −3.4% a year is not significant, on back-test data.
359%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
  1. 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.
  2. A rule reads the close of the last trading day of the month and trades at the next close.
  3. The universe is 19 funds; the benchmark is iShares MSCI ACWI ETF (ACWI).
  4. It is checked at each month end.
What we cannot measure
  • 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.
Fund list · 19 funds
EWAEWCEWGEWHEWIEWJEWLEWDEWNEWPEWQEWSEWUEWWEWZEWTEWYEZAEWM
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ETFIQ Strategy Lab, Country value plus momentum, data as of Nov 3, 2026. https://etfiq.com/models/strategies/country-value-momentum/

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

Open dataFree to use with attribution
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