This strategy invests in the sectors that have the strongest short-term momentum. The selection universe consists of 10 sector ETFs. Each sector is ranked using multiple momentum metrics 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 8.2% per year, underperforming its benchmark by 0.2%
Year | Portfolio | S&P 500 |
2007 | 13.7% | 5.1% |
2008 | -15.3% | -36.8% |
2009 | 29.5% | 26.4% |
2010 | 15.9% | 15.1% |
2011 | -12.2% | 1.9% |
Year | Portfolio | S&P 500 |
2012 | 15.3% | 16.0% |
2013 | 37.2% | 32.3% |
2014 | 10.5% | 13.5% |
2015 | -4.2% | 1.2% |
2016 | 11.6% | 12.0% |
Year | Portfolio | S&P 500 |
2017 | 15.9% | 21.7% |
2018 | -7.3% | -4.6% |
2019 | 19.8% | 31.2% |
2020 | 7.6% | 18.3% |
2021 | 15.7% | 28.7% |
2022 YTD | -6.6% | -18.9% |