Beat the Market With Sector Rotation

Updated August 2013 (suggested positions and commentary for August are below)

Rockledge Sector Scoring and Allocation Methodology (SectorSAM™) is a robust quantitative sector selection and rotation quantitative analysis that we developed in 2004 and we have been building upon this analysis since the firm’s inception. SectorSAM™ is based primarily on fundamental analysis of the S&P 500 individual stocks, with some macroeconomic and technical factors added. Our eight year track record is exceptional, out performing the S&P 500 by a wide margin, with no leverage or derivatives, utilizing only Select Sector SPDR ETFs. We are proud of this achievement!

Some of our clients have asked for purely tactical strategies that could be easily implemented either on their own or with us. It is with this in mind that we created several interesting and straightforward approaches that can be executed by anyone, utilizing SPDR ETFs and rebalancing on a monthly basis.

We focus on large capitalization sector rotation looking at the top ten economic sector within the S&P 500 Index. These sectors are:

• Discretionary sector (XLY); full name Consumer Discretionary
• Energy sector (XLE)
• Financials sector (XLF)
• Health Care sector (XLV)
• Industrials sector (XLI)
• Materials sector (XLB)
• Staples sector (XLP); full name Consumer Staples
• Technology sector (XLK); Telecommunications sector included
• Utilities sector (XLU)

On these pages we are providing a set of sector rotation model portfolios based on various strategies. Currently we are showing three model portfolios:

• High Performers Sector SPDRs
• Low Volatility Sector SPDRs
• Low Beta Sector SPDRs

High Performers model portfolio invests in four SPDR ETFs that have the highest performance over the last twelve months. Low Volatility model portfolio invests in four SPDR ETFs that have the lowest volatility over the last twelve months. Low Beta model portfolio invests in four SPDR ETFs that have the lowest beta over the last twelve months. All positions are held for the entire month until the next rebalancing.

Below are details of back tests for these strategies. These models are presented for informational purposes. The results are based on a hypothetical portfolio and do not include either brokerage or management fees. Past results are no guarantee of future performance.

High Performers model portfolio

Portfolio statistics (back test) for High Performers model portfolio

 

 

Low Volatility model portfolio

Portfolio statistics (back test) for Low Volatility model portfolio

 

 

Low Beta model portfolio

Portfolio statistics (back test) for Low Beta model portfolio

 

Suggested positions and commentary for August 2013

High Performers model portfolio

Forecast for High Performers model portfolio

Last month High Performers model portfolio results

 

Low Volatility model portfolio

Forecast for Low Volatility model portfolio

Last month Low Volatility model portfolio results

 

Low Beta model portfolio

Forecast for Low Beta model portfolio

Last month Low Beta model portfolio results