Dorsey Wright ETF [DWAS] head to head with Fama-French momentum

DWAS, small cap momentum was released just over a year ago.  The fund holds 200 small-cap stocks ranked with a proprietary relative strength algorithm, rebalanced quarterly.

Fama-French small-cap high-momentum holds the intersection of the small-cap half of the market and stocks in the top third by 12 month price change.  Returns since 1975 were shown in the previous post (22% CAR).

Daily returns correlate 84% since launch.  The distribution is shown below:

Capture3

A cubic spline is the first reasonable fit due to the non-linearity at the outliers.  The bulk of the daily changes are within +/- 1% and the slope in this region is very close to 1 therefore the ETF tracks Fama-French very well so far.

There is also an all-cap momentum ETF with a longer history.  I will analyze that in a later post.

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5 thoughts on “Dorsey Wright ETF [DWAS] head to head with Fama-French momentum

  1. Pingback: Dorsey Wright ETF [PDP] head to head with Fama French momentum | RRSP Strategy

  2. Pingback: Dorsey Wright momentum ETFs: simple filter to improve performance | RRSP Strategy

  3. Pingback: Seasonality I: day-of-the-month | RRSP Strategy

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