Designed to identify relative-, directional and non-directional trade ideas!

  • Track the time-series momentum and cross-sectional momentum in a highly systematic and convenient way
  • Identify trade ideas beyond the typical mainstream-driven news feed
  • Weekly updated historical performance table to track the efficiency of our ETF Momentum Heat Maps
  • Data download (.csv) for further analysis available
  • Dedicated to experienced investors only

All our ETF Heat Maps are designed to exploit the momentum-anomaly

Both theoretical and empirical evidence shows that if applied correctly, the momentum factor can be exploited in two quite profitable dimensions: cross-sectional- and time-series-oriented. The only difference between these two approaches is that cross sectional momentum focuses on relative profits of groups of assets, whereas the time-series momentum focuses on single assets’ own past return.

ETFs with a higher score than the current money market are poised to perform positive on an absolute return basis

A key requirement for benefitting from the substantial academic evidence is to use appropriate momentum scoring tools to measure these anomalies correctly for a wider range of assets. To put these findings into practice, we provide two ETF Momentum Heat Maps capturing both the time-series as well as the cross-sectional momentum within one chart. Both Heat Maps can be utilized to identify highly profitable directional and non-directional trade opportunities. Directional trades are focused on betting on a specific absolute trend (time-series momentum) by taking a corresponding position, either long or short. Non-directional trades involve a long and a short position in two specific securities, betting on a relative diverge in price (cross-sectional momentum).

The Global Momentum ETF Heat Map is dedicated to multi-asset investors, as it covers the most relevant asset classes (equity, commodities and U.S. treasuries). Each ETF/ETC that has a higher (lower) momentum score (ranging from 0 to 100) than riskless money market is poised to perform positive (negative) on an absolute return basis (time-series momentum). ETFs/ETCs with an increasing (decreasing) and higher (lower) momentum score than other ETFs/ETCs should generate significant higher (lower) relative returns than its corresponding counterpart on a mid-term time horizon.
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The SPDR Momentum Heat Map is dedicated to U.S.-focused equity investors as it covers a S&P 500-ETF as well as the nine most relevant Select Sector SPDRs. Each ETF that has a higher (lower) momentum score (ranging from 0 to 100) than riskless money market is poised to perform positive (negative) on an absolute return basis (time-series momentum). SPDRs with an increasing (decreasing) and higher (lower) momentum score than other ETFs or the S&P 500 should generate significant higher (lower) relative returns than its corresponding counterpart or the broad index on a mid-term time horizon.
 
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Designed for directional and non-directional trades!

All our proprietary ETF Momentum Heat Maps are designed to exploit both kinds of trade, as each of them shows the momentum score ranging from 0 to 100 for a specific ETF. All ETFs that have a higher (lower) momentum score than riskless money are poised to perform positive (negative) on an absolute return basis (time-series momentum). Relative trades can be established by taking long position in an ETF with an increasing and relatively high momentum score and a short position in an ETF with a decreasing and relatively low momentum score (cross-sectional momentum).

ETFs with a higher score than money market are poised to perform positive on an absolute return basis

To track the efficiency of our ETF Momentum Heat Maps, we provide a weekly-updated performance table which shows the cumulative return for each underlying ETF, in periods when the specific momentum score is traded above (bullish signal) or below (bearish signal) the momentum score of riskless money market. Although this view exclusively considers time-series momentum, it also gives clear indication about the effectiveness of their relative trade capabilities, as the outcome of those trades is a combination of both sides from the return table.

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Below, you can see the total performance of each covered ETF when its momentum score was above (=bullish) or below (=bearish) riskless money market (cash). The Global Momentum Track Record table is updated on a weekly basis.
 
Below, you can see the total performance of each covered ETF when its momentum score was above (=bullish) or below (=bearish) riskless money market (cash). The SPDR Momentum Track Record table is updated on a weekly basis.
 

Another unique feature is that all archival momentum scores can be downloaded in our members’ area in spread sheet format for further, detailed analysis.

Financial markets exhibit anomalies that can be exploited in a systematic way