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WSC Sector Rotation Strategy – Sample

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Description

Investment Objectives of the WSC Sector Rotation Investment Strategy:

  • The WSC Sector Rotation Investment Strategy (SERO) is designed to limit the downside potential during bear markets and to perform at least as good as the S&P 500 during bull markets.
  • The aim is to achieve equity-like returns with lower volatility, leading to higher risk-adjusted returns over a full market cycle by exploiting the time-series- and cross-sectional momentum in a very systematic way.

Typical Investor:

  • Investors searching for higher risk-adjusted returns than the S&P 500 over a full market cycle.
  • Investors wanting a tilt towards equities but with less risk.
  • Strong alternative for latecomers as the strategy puts a strong focus on downside protection.
  • Traders searching for profitable trading ideas.

Investment Process:

  • The portfolio selects the most attractive SDPR Sector ETFs by evaluating their cross-sectional momentum versus the S&P 500. The cross-sectional momentum scores are based on the results from the SPDR Momentum Heat Map.
  • SPDRs which have a higher cross-sectional momentum score than average and a higher score than the S&P 500 will be added to the portfolio.
  • If the momentum score of the S&P 500 drops below the one of the riskless money market (which indicates a risk-off market environment), the portfolio automatically switches into outright low beta sectors (utilities, consumer staples and cash) to protect capital (as the portfolio is long-only).

Favourable Market Environment:

  • Strong trending markets (up and down).

Challenging Market Environment:

  • V-shaped market movements (limited sell-off followed by a strong recovery).
  • Non-trending markets.

Allocation Advice:

  • The allocation of the portfolio could theoretically change on a weekly basis (each Friday).
  • All holdings should be weighted equally.

Performance Calculation:

  • The performance calculation is based on the assumption that a new allocation advice is executed at the closing price on that day.
  • No rebalancing is made in between.

Benchmark:

  • S&P 500.

Factsheet:

  • The performance and risk figures are updated on a weekly basis. For further information please visit our FAQ page.
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