Factor Rotation - Macro with Trend

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. 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 factors are in a downtrend simultaneously.

Since 2006, this portfolio has returned 10.0% per year, outperforming its benchmark by 2.0%

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Factor Rotation - Macro with Trend
S&P 500

Annual Return: 10.0% S&P 500: 8.0%
Year To Date: -21.0% S&P 500: -4.9%
Beta: 0.55 Standard Deviation: 18.0%
Full Return History

Portfolio Holdings

Ticker Date Added Return
XMHQ 5/1/2020 12.42%

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