Dynamic Sector Rotation
Strategy Overview: A sector rotation strategy focused on investing in the top sectors and subsectors based on momentum and relative strength. Risk is managed by using stop-losses based on volatility. The portfolio uses ETFs to represent the various sectors and subsectors and can move to 100% cash when appropriate.
Objective: The strategy’s objective is to outperform the S&P 500 Momentum Index, while managing risk to lower drawdowns.
The dynamic sector momentum strategy uses a combination of Momentum, Relative Strength and Risk Management. This white paper analyzes the academic research of these components and combines them to create a momentum, risk-managed strategy.
