Strategy 2 – Monthly End-of-the-Month (MEOM)
The 2nd strategy is a the Turn-on-the-Month implementation applied to a universe of 26 ETF’s. Excellent risk vs reward results are achieved, reflected by an annualized sharp ratio of 5.56. Details below. Signals of this strategy will be provided through this blog starting end of June 2010. Strategy Concept The seasonal strategy is based on the Turn-of-the-Month anomaly. … Read more
