Factor Rotation - Macro

This strategy invests in the factors that have performed best in similar historical macro environments to the current one. The selection universe consists of 15 factor ETFs, which cover size, value, growth, momentum, quality and low volatility. Each factor is ranked using a variety of macro variables, including GDP growth, inflation, and the slope of the yield curve, among others, and the top 5 ETFS are added to the portfolio on each rebalancing date.

Since 2006, this portfolio has returned 7.8% per year, underperforming its benchmark by 0.2%

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Factor Rotation - Macro
S&P 500

Annual Return: 7.8% S&P 500: 8.0%
Year To Date: -14.4% S&P 500: -4.9%
Beta: 0.97 Standard Deviation: 23.0%
Full Return History

Portfolio Holdings

Ticker Date Added Return
SPHQ 3/8/2019 17.21%

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