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.