U.S. Stylebox ETF Rotation

The Morningstar Style Box was introduced in 1992 as a way to help advisors and investors classify funds based upon investment style and risks.

Today, style diversification is widely recognized as an important component to portfolio diversification. The general observation is that styles perform differently over time (the same way different assets-classes do).

A common investor dilemma is when to shift between growth and value oriented stocks.Multiple research papers show it is possible to apply momentum strategies to successfully rotate between equity styles (small cap value, large cap growth etc.) resulting in excess returns.


  • Tactically shifting between the various Russell style box ETFs
  • Starting with a basket of low-cost ETFs that are style specific, applying multiple periods of momentum and volatility analysis, and ranking the basket monthly
  • The model holds the top two scoring ETFs each month
  • The model provides a simple and effective means to gain exposure to the U.S. stock market
  • The model is 100% rules-based and may at times hold cash or bonds as a defensive measure during periods of declining stock prices

From: $208.25 / month

Clear selection

Model Inception Date:12/31/2002Data as of 01/31/2017
Total Return:589.3%240.9%
Compound Annual Growth (CAGR):14.7%9.1%
Sharpe Ratio:0.900.44
MAR Ratio: 0.910.16
Correlation to benchmark:0.30
Volatility: 14.2% 18.8%
Maximum Drawdown:-16.3%-55.2%
Winning Period %:66.9%
Best Monthly Period:10.20%
Worst Monthly Period:-7.98%

Exchange Traded FundSymbol
iShares Russell 1000 ValueIWD
iShares Russell 1000 GrowthIWF
iShares Russell 2000 ValueIWN
iShares Russell 2000 Growth IWO
iShares Russell Mid Cap Value IWS
iShares Russell Mid Cap Growth IWP
PowerShares Nasdaq 100 IndexQQQ
iShares DJ Select Dividend IndexDVY
iShares MSCI USA Minimum Volatility Index USMV
iShares Barclays 7-10 year Treasury IEF
Barclays Low Duration Treasury SHY
ProShares -1X Short Inverse S&P 500 Index SH

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