Factor Rotation - Momentum with Trend

This strategy invests in the factors that have the strongest short-term momentum. The selection universe consists of 15 factor ETFs, which cover size, value, growth, momentum, quality and low volatility. Each factor 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 factors are in a downtrend simultaneously.

Since 2006, this portfolio has returned 11.0% per year, outperforming its benchmark by 2.8%

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Factor Rotation - Momentum with Trend
S&P 500

Annual Return: 11.0% S&P 500: 8.2%
Year To Date: -15.2% S&P 500: -2.4%
Beta: 0.57 Standard Deviation: 18.5%
Full Return History

Portfolio Holdings

Ticker Date Added Return
XMHQ 5/1/2020 15.70%

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