In April the system returned 0.5% vs. a $SPY return of 1.9%. The system was 33% in cash for one day and missed part of the bounce from the 50 day average. Also, the defensive funds have been increasingly moving up in the ranks. These do not tend to move as much as the non-defensive funds.
Year-to-date the system is up 13% vs. a $SPY return of 12.1%.
The system is currently long FSUTX (Utilities), FBMPX (Multimedia), and FBIOX (Biotechnology).
Nice work. My 6 ETF system was up 2.47%. My system doesn’t try top beat just tries to match market returns to the upside, then beat on the sell offs. Month to month it can vary, but over time it does protect capital in down drafts.
Care to elaborate? I’m looking at implementing an ETF rotation strategy and would be interested in hearing some of the details of your system. I was thinking something simple like the trailing 6-month total return, similar to the ETF momo rotation at CXO advisory. Thanks
Got a link to the CXO strategy you are interested in?
I’m getting ready to start on some absolute momentum stuff. Is that what you mean by total return?
http://www.cxoadvisory.com/momentum-strategy/
I think you need an account, but you can just make a free trial account to get the information, that’s what I did. I’m 100% sure you’ll be able to build a much better system, theirs is very very simple.
They look at 8 ETFs:
Commodities – DBC
Emg Mkts – EEM
Intl Equity – EFA
Gold – GLD
Russell 2000 – IWM
Russell 1000 – IWB
Real Estate – RWR
Long Term Treasuries – TLT
and Cash
It looks like they just rank them all based on 5-month total return (assuming they do price appreciation + dividends). Then buy the top 1, 2, or 3 depending on how you value volatility vs. returns.
Cool. Thanks. I need to go ahead and subscribe anyway. I love their work.