Objective research to aid investing decisions

Value Investing Strategy (Strategy Overview)

Allocations for January 2022 (Final)
Cash TLT LQD SPY

Momentum Investing Strategy (Strategy Overview)

Allocations for January 2022 (Final)
1st ETF 2nd ETF 3rd ETF

Defensive-in-May Sector Rotation

December 22, 2021 • Posted in Calendar Effects, Equity Premium

A subscriber asked about a strategy that holds a portfolio of cyclical sectors and small capitalization stocks during November through April and a portfolio of defensive sectors during May through October, as follows:

We use NAESX for small stocks to obtain a history as long as those for the equity sectors. We weight components of the cyclical and defensive portfolios equally. We use buy-and-hold NAESX and an equal-weighted, semiannually rebalanced portfolio of all seven funds (Sector EW) as benchmarks. We focus on semiannual return statistics, along with compound annual growth rates (CAGR) and maximum drawdowns (MaxDD). Using semiannual dividend-adjusted prices for the selected funds during April 1999 through October 2021 (defining the first and last available semiannual intervals), we find that: (more…)

Please or subscribe to continue reading...
Gain access to hundreds of premium articles, our momentum strategy, full RSS feeds, and more!  Learn more

Daily Email Updates
Login
Questions?