Sector Rotation - Macro with Trend

This strategy invests in the sectors that have performed best in similar historical macro environments to the current one. The selection universe consists of 10 sector ETFs. Each sector 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. In addition, a trend following system is used to eliminate ETFs that are in a downtrend and to raise cash when the majority of the sectors are in a downtrend simultaneously.

Since 2006, this portfolio has returned 6.4% per year, underperforming its benchmark by 1.7%

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Sector Rotation - Macro with Trend
S&P 500

Annual Return: 6.4% S&P 500: 8.0%
Year To Date: -17.3% S&P 500: -4.9%
Beta: 0.54 Standard Deviation: 16.3%
Full Return History

Portfolio Holdings

Ticker Date Added Return
XRT 5/1/2020 14.41%

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