DeployQuantFirst-to-Last Day of Month vs 3-Month Momentum Switch
Two rule sets, 59 ETFs, one engine and one window.
| monthly cycle | 3-month momentum | |
|---|---|---|
| Median CAGR (59 ETFs) | 5.5% | 0.0% |
| Median max drawdown | −36.6% | −26.2% |
| ETFs won (by CAGR) | 37 | 22 |
| Style | measuring how much of an asset's return accrues inside the month versus across month boundaries | assets with long, persistent cycles, such as index, sector and managed-futures ETFs |
Where the gap was biggest
| ETF | monthly cycle | 3-month momentum | gap |
|---|---|---|---|
| SOXS | −77.5% | −41.1% | 36.3% |
| TECS | −55.6% | −20.7% | 34.9% |
| TECL | 36.0% | 7.6% | 28.3% |
| REW | −37.2% | −15.7% | 21.5% |
| FAS | 17.0% | −2.5% | 19.4% |
| TMF | −32.2% | −13.2% | 19.1% |
| UVXY | −68.7% | −49.8% | 19.0% |
| SQQQ | −44.6% | −25.8% | 18.8% |
| ROM | 27.0% | 8.4% | 18.6% |
| SOXL | 32.9% | 16.4% | 16.4% |
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Frequently asked questions
Which is better: monthly cycle or 3-month momentum?
On this 2021-01-04 to 2026-10-02 window, monthly cycle produced the higher CAGR on 37 of 59 ETFs. Median CAGR: monthly cycle 5.5% vs 3-month momentum 0.0%; median max drawdown: 36.6% vs 26.2%. Which is better depends on the asset and what you optimize for. The per-ETF table shows where each wins.
Dig deeper
Backtests are hypothetical, computed by DeployQuant's engine on minute-resolution consolidated US market data (2021-01-04 to 2026-10-02, $10,000 starting capital, no margin, no fees or slippage in the headline run; buy-and-hold puts 98% of the account in at the first open, as the templates do) and do not guarantee future results. Nothing on this page is investment advice. Live trading involves risk of loss.