The Crossinvest Asia Sector Momentum Model looks at the 9 GICs sectors across Asia as defined by Bloomberg Asia Pacific Index series.
It uses a variation of Norman Fosback's Strength Rating to calculate momentum for each of these sectors and ranks them accordingly.
This momentum is defined as the Average of Daily Price over 100 Days, 1 Day ago / Average of Daily Price over 100 Days, 15 Days ago.
Simplistically, the top 3 sectors get 60% of the total weight equally weighted, the next 3 sectors 30% equally weighted, and the last 3 sectors 10% equally weighted.
Ideally it would be nice to have an ETF to reflect these indices but currently there is no complete series. I have included at the end the top 15 names in each index (ranked by market cap/index weight).
The model is rebalanced weekly on Wednesdays.
Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.
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