# Strategy Assumptions

1. **Momentum Proxy**: We define the "Strongest Few" using the 6-month trailing total return (including dividends). This period balances capturing sustained trends while avoiding excessive noise from short-term volatility.
2. **Universe Selection**: The universe is restricted to highly liquid US-listed equity ETFs (SPY, QQQ, IWM, EFA, EEM) to minimize execution slippage and ensure representative exposure to broad market segments.
3. **Rebalancing Frequency**: The strategy will rebalance monthly. This frequency is chosen to keep transaction costs manageable (relative to daily/weekly rebalancing) while remaining responsive to significant regime shifts in momentum.
4. **Execution Costs**: We assume a flat transaction cost of 0.05% per trade to account for bid-ask spreads and potential commission fees, as real-world execution on retail platforms usually incurs some cost.
5. **No Short-Selling**: The strategy is long-only. If all selected assets have negative momentum, the strategy defaults to holding a cash-equivalent (assumed to be a risk-free proxy for calculation purposes).