U.S. Sector Rotation

A SYSTEMATIC APPROACH TO RELATIVE STRENGTH CAN HELP INVESTORS IDENTIFY MAJOR SHIFTS IN THE MARKET

The strategy utilizes analysis of both a long term and an intermediate-term relative strength measurement, providing for an unemotional an objective approach. By investing in the best performing sectors and avoiding the worst performing, investors can maximize their growth during positive market environments. In investing, it is not only what you do own but also what you don’t own that determines investment success.

  • The screen examines over 20 different sector specific SPDRs and iShares and then selects the top three scoring ETFs for the Model which is rebalanced monthly
  • The basic idea behind a sector rotation strategy is that the economy operates in cycles and at any given time some sectors of the market will be up while others will be down.

 

become a member

Get instant access to this model and more.

Total Return
Performance Summary
Model Inception Date:12/31/2002Data as of 08/31/2018
ModelBenchmark
Total Return:852.1%347.1%

Compound Annual Growth (CAGR):15.5%10.0%
Sharpe Ratio:0.930.55
MAR Ratio: 0.710.16
Correlation to benchmark:.51
Winning Period %:66.5%
Maximum Drawdown:-19.9%-55.2%
Volatility:15.5%18.1%
Best Monthly Period:11.87%
Worst Monthly Period:-9.80%
Annual Returns
YEARSector ETF Rotation Model Total ReturnBenchmark (SPY) Total Return
200329.0%28.2%
200414.6%10.7%
200523.0%4.8%
20069.6%15.8%
20076.8%5.10%
20084.0%-36.80%
200933.6%26.4%
20109.4%15.10%
20115.8%1.90%
20129.3%16.0%
201334.1%32.3%
2014 10.5%13.5%
2015 6.5%1.5%
2016 5.3%12.0%
201727.4%21.7%
2018 (as of August 31)20.9%


9.7%
Monthly Returns

 

 

 JanFebMarAprMayJunJulAugSeptOctNovDec
2003-3.05%
0.94%1.59%
1.28%7.98%-0.74%4.54%4.17%-2.98%3.18%1.77%7.71%
2004-1.71%0.48%
-0.06%-3.63%-0.27%
6.08%2.69%-1.22%
6.62%
0.26%
6.14%
-1.06%
20050.02%
11.87%-1.19%-2.87%1.84%4.13%2.84%4.37%5.51%-7.86%2.02%1.47%
20067.53%-5.61%
0.57%
0.89%
-2.29%2.10%
-4.95%
2.99%
2.64%2.60%0.91%2.51%
20071.43%
-2.14%
1.36%2.84%4.00%-0.75%-0.98%1.70%4.91%2.86%-7.19%-0.82%
2008-3.75%0.80%1.47%-1.53%-1.16%1.76%0.53%-1.48%0.41%0.72%1.57%4.80%
20091.86%
1.78%-2.66%-2.54%0.54%1.92%7.69%3.51%7.41%-1.21%6.72%5.02%
2010-4.12%3.25%9.81%3.96%-7.04%-9.80%5.66%-2.46%4.27%3.19%-0.98%5.12%
20112.66%
5.89%
1.51%2.37%-2.32%-1.63%-3.04%-4.02%-2.33%3.61%0.22%3.32%
2012-0.96%2.44%
3.68%0.55%-3.53%4.90%1.89%-1.68%3.13%
-2.62%-0.70%
2.26%
20134.40%
1.35%4.86%1.56%0.75%-0.50%6.35%-3.21%4.55%3.80%4.14%2.03%
2014-1.36%5.47%
-0.97%-1.08%1.65%2.47%-4.70%
3.23%-0.56%3.57%4.27%-1.51%
20150.89%2.22%0.41%
-2.30%5.40%-0.31%3.91%-6.66%-1.31%5.27%0.04%-0.58%
2016-3.80%0.07%4.29%-2.96%0.56%5.36%-0.06%-3.83%2.00%-0.54%3.67%0.90%
20171.23%3.96%-0.70%1.04%3.38%-1.69%4.38%2.88%1.93%5.47%1.69%1.09%
20188.01%0.41%-2.35%1.02%4.26%0.96%0.63%6.65%
Historical holdings
Monthly PeriodExchange Traded FundSymbolPercent Holding
August 2018First Trust DJ Internet IndexFDN33.33%
August 2018iShares S&P Technology IndexIGM33.33%
August 2018U.S. Consumer Discret Sector SPDRXLY33.33%
July 2018First Trust DJ Internet IndexFDN33.33%
July 2018iShares S&P Technology IndexIGM33.33%
July 2018U.S. Consumer Discret Sector SPDRXLY33.33%
June 2018 First Trust DJ Internet IndexFDN33.33%
June 2018 PowerShares Aerospace & DefensePPA33.33%
June 2018 U.S. Consumer Discret Sector SPDRXLY33.33%
May 2018First Trust DJ Internet IndexFDN33.33%
May 2018PowerShares Aerospace & DefensePPA33.33%
May 2018U.S. Consumer Discret Sector SPDRXLY33.33%
April 2018First Trust DJ Internet IndexFDN33.33%
April 2018PowerShares Aerospace & DefensePPA33.33%
April 2018U.S. Consumer Discret Sector SPDRXLY33.33%
March 2018First Trust DJ Internet IndexFDN33.33%
March 2018iShares S&P Technology IndexIGM33.33%
March 2018PowerShares Aerospace & DefensePPA33.33%
February 2018First Trust DJ Internet IndexFDN33.33%
February 2018iShares S&P Technology IndexIGM33.33%
February 2018PowerShares Aerospace & DefensePPA33.33%
January 2018iShares S&P Technology IndexIGM33.33%
January 2018PowerShares Aerospace & DefensePPA33.33%
January 2018U.S. Technology Sector SPDRXLK33.33%
December 2017PowerShares Aerospace & DefensePPA33.33%
December 2017S&P Homebuilders SPDRXHB33.33%
December 2017U.S. Financial Sector SPDRXLF33.33%
November 2017iShares S&P Technology IndexIGM33.33%
November 2017PowerShares Aerospace & DefensePPA33.33%
November 2017U.S. Technology Sector SPDRXLK33.33%
October 2017iShares S&P Technology IndexIGM33.33%
October 2017PowerShares Aerospace & DefensePPA33.33%
October 2017U.S. Technology Sector SPDRXLK33.33%
September 2017iShares S&P Technology IndexIGM33.33%
September 2017PowerShares Aerospace & DefensePPA33.33%
September 2017U.S. Technology Sector SPDRXLK33.33%
August 2017 iShares S&P Technology IndexIGM33.33%
August 2017 PowerShares Aerospace & DefensePPA33.33%
August 2017 U.S. Technology Sector SPDRXLK33.33%
July 2017iShares S&P Technology IndexIGM33.33%
July 2017First Trust DJ Internet IndexFDN33.33%
July 2017U.S. Technology Sector SPDRXLK33.33%
June 2017iShares S&P Technology IndexIGM33.33%
June 2017First Trust DJ Internet IndexFDN33.33%
June 2017U.S. Technology Sector SPDRXLK33.33%
May 2017 iShares S&P Technology IndexIGM33.33%
May 2017 U.S. Industrials Sector SPDRXLI33.33%
May 2017 U.S. Technology Sector SPDRXLK33.33%
April 2017 U.S. Financial Sector SPDRXLF33.33%
April 2017 U.S. Technology Sector SPDRXLK33.33%
April 2017 U.S. Industrials Sector SPDRXLI33.33%
March 2017 iShares S&P Technology IndexIGM33.33%
March 2017 PowerShares Aerospace & DefensePPA33.33%
March 2017 U.S. Financial Sector SPDRXLF33.33%
February 2017 U.S. Industrials Sector SPDRXLI33.33%
February 2017 iShares Dow Jones TransportsIYT33.33%
February 2017 U.S. Financial Sector SPDRXLF33.33%
January 2017 U.S. Industrials Sector SPDRXLI33.33%
January 2017 iShares Dow Jones TransportsIYT33.33%
January 2017 U.S. Financial Sector SPDRXLF33.33%
December 2016PowerShares Aerospace & DefensePPA33.33%
December 2016U.S. Industrials Sector SPDRXLI33.33%
December 2016U.S. Financial Sector SPDRXLF33.33%
November 2016iShares S&P Technology IndexIGM33.33%
November 2016PowerShares Aerospace & DefensePPA33.33%
November 2016U.S. Technology Sector SPDRXLK33.33%
October 2016 First Trust DJ Internet IndexFDN33.33%
October 2016 iShares S&P Technology IndexIGM33.33%
October 2016 U.S. Technology Sector SPDRXLK33.33%
September 2016First Trust DJ Internet IndexFDN33.33%
September 2016iShares S&P Technology IndexIGM33.33%
September 2016PowerShares Aerospace & DefensePPA33.33%
August 2016iShares Dow Jones TelecommIYZ33.33%
August 2016PowerShares Aerospace & DefensePPA33.33%
August 2016U.S. Utilities Sector SPDRXLU33.33%
July 2016iShares iBoxx Invest Grade Bond (7-8yr)LQD33.33%
July 2016U.S. Consumer Staples Sector SPDRXLP33.33%
July 2016U.S. Utilities Sector SPDRXLU33.33%
June 2016iShares iBoxx Invest Grade Bond (7-8yr)LQD33.33%
June 2016U.S. Consumer Staples Sector SPDRXLP33.33%
June 2016U.S. Utilities Sector SPDRXLU33.33%
May 2016iShares iBoxx Invest Grade Bond (7-8yr)LQD33.33%
May 2016U.S. Consumer Staples Sector SPDRXLP33.33%
May 2016U.S. Utilities Sector SPDRXLU33.33%
April 2016U.S. Technology Sector SPDRXLK33.33%
April 2016U.S. Consumer Staples Sector SPDRXLP33.33%
April 2016U.S. Utilities Sector SPDRXLU33.33%
March 2016Barclays Low Duration Treasury (2-yr)SHY33.33%
March 2016U.S. Consumer Staples Sector SPDRXLP33.33%
March 2016U.S. Utilities Sector SPDRXLU33.33%
February 2016-1x ProShares Short S&P 500 IndexSH33.33%
February 2016Barclays Low Duration Treasury (2-yr)SHY33.33%
February 2016U.S. Consumer Staples Sector SPDRXLP33.33%
January 2016iShares S&P Technology IndexIGM33.33%
January 2016U.S. Consumer Staples Sector SPDRXLP33.33%
January 2016U.S. Consumer Discret Sector SPDRXLY33.33%
December 2015iShares S&P Technology IndexIGM33.33%
December 2015U.S. Consumer Staples Sector SPDRXLP33.33%
December 2015U.S. Consumer Discret Sector SPDRXLY33.33%
November 2015iShares S&P Technology IndexIGM33.33%
November 2015U.S. Consumer Staples Sector SPDRXLP33.33%
November 2015U.S. Consumer Discret Sector SPDRXLY33.33%
October 2015U.S. Consumer Staples Sector SPDRXLP33.33%
October 2015U.S. Utilities Sector SPDRXLU33.33%
October 2015U.S. Consumer Discret Sector SPDRXLY33.33%
September 2015-1x ProShares Short S&P 500 IndexSH33.33%
September 2015S&P Homebuilders SPDRXHB33.33%
September 2015U.S. Consumer Discret Sector SPDRXLY33.33%
August 2015First Trust DJ Internet IndexFDN33.33%
August 2015U.S. Health Care Sector SPDRXLV33.33%
August 2015U.S. Consumer Discret Sector SPDRXLY33.33%
July 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
July 2015U.S. Health Care Sector SPDRXLV33.33%
July 2015U.S. Consumer Discret Sector SPDRXLY33.33%
June 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
June 2015U.S. Health Care Sector SPDRXLV33.33%
June 2015U.S. Consumer Discret Sector SPDRXLY33.33%
May 2015iShares Nasdaq Biotechnology IndexIBB33.33%
May 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
May 2015U.S. Consumer Discret Sector SPDRXLY33.33%
April 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
April 2015U.S. Consumer Discret Sector SPDRXLY33.33%
April 2015 SPDR S&P U.S. Retail IndustryXRT33.33%
March 2015U.S. Health Care Sector SPDRXLV33.33%
March 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
March 2015U.S. Consumer Staples Sector SPDRXLP33.33%
February 2015iShares DJ U.S. PharmaceuticalsIHE33.33%
February 2015U.S. Consumer Staples Sector SPDRXLP33.33%
February 2015U.S. Utilities Sector SPDRXLU 33.33%
January 2015U.S. Health Care Sector SPDRXLV33.33%
January 2015U.S. Utilities Sector SPDRXLU33.33%
January 2015 U.S. Consumer Staples Sector SPDRXLP33.33%
December 2014U.S. Technology Sector SPDRXLK33.33%
December 2014U.S. Health Care Sector SPDRXLV33.33%
December 2014U.S. Consumer Staples Sector SPDRXLP33.33%
November 2014iShares DJ U.S. PharmaceuticalsIHE33.33%
November 2014U.S. Health Care Sector SPDRXLV33.33%
November 2014U.S. Technology Sector SPDRXLK33.33%
October 2014iShares Dow Jones TransportsIYT33.33%
October 2014U.S. Health Care Sector SPDRXLV33.33%
October 2014U.S. Technology Sector SPDRXLK33.33%
September 2014iShares Dow Jones TransportsIYT33.33%
September 2014U.S. Materials Sector SPDRXLB33.33%
September 2014U.S. Technology Sector SPDRXLK33.33%
August 2014iShares S&P N. Amer Nat. ResourcesIGE33.33%
August 2014U.S. Materials Sector SPDRXLB33.33%
August 2014U.S. Technology Sector SPDRXLK33.33%
July 2014iShares S&P N. Amer Nat. ResourcesIGE33.33%
July 2014U.S. Energy Sector SPDRXLE33.33%
July 2014U.S. Utilities Sector SPDRXLU33.33%
June 2014iShares Dow Jones TransportsIYT33.33%
June 2014U.S. Materials Sector SPDRXLB33.33%
June 2014U.S. Utilities Sector SPDRXLU33.33%
May 2014PowerShares Aerospace & DefensePPA33.33%
May 2014iShares DJ U.S. PharmaceuticalsIHE33.33%
May 2014U.S. Industrials Sector SPDRXLI33.33%
April 2014PowerShares Aerospace & DefensePPA33.33%
April 2014iShares S&P Technology IndexIGM33.33%
April 2014 U.S. Health Care Sector SPDRXLV33.33%
March 2014PowerShares Aerospace & DefensePPA33.33%
March 2014iShares S&P Technology IndexIGM33.33%
March 2014 U.S. Health Care Sector SPDRXLV33.33%
February 2014PowerShares Aerospace & DefensePPA33.33%
February 2014iShares S&P Technology IndexIGM33.33%
February 2014U.S. Health Care Sector SPDRXLV
33.33%
January 2014PowerShares Aerospace & DefensePPA
33.33%
January 2014First Trust DJ Internet IndexFDN33.33%
January 2014U.S. Industrials Sector SPDRXLI33.33%
December 2013PowerShares Aerospace & DefensePPA33.33%
December 2013U.S. Healthcare Sector SPDRXLV33.33%
December 2013U.S. Consumer Discret Sector SPDRXLY33.33%
November 2013PowerShares Aerospace & DefensePPA33.33%
November 2013U.S. Consumer Discret Sector SPDRXLY33.33%
November 2013U.S. Industrials Sector SPDRXLI33.33%
October 2013PowerShares Aerospace & DefensePPA33.33%
October 2013U.S. Consumer Discret Sector SPDRXLY33.33%
October 2013 SPDR S&P U.S. Retail IndustryXRT33.33%
September 2013PowerShares Aerospace & DefensePPA33.33%
September 2013U.S. Healthcare Sector SPDRXLV33.33%
September 2013SPDR S&P U.S. Retail IndustryXRT33.33%
August 2013PowerShares Aerospace & DefensePPA33.33%
August 2013U.S. Healthcare Sector SPDRXLV33.33%
August 2013SPDR S&P U.S. Retail IndustryXRT33.33%
July 2013U.S. Healthcare Sector SPDRXLV33.33%
July 2013 SPDR S&P U.S. Retail IndustryXRT33.33%
July 2013U.S. Consumer Discret Sector SPDRXLY33.33%
June 2013U.S. Healthcare SPDR XLV33.33%
June 2013PowerShares Aerospace & DefensePPA33.33%
June 2013U.S Financial Sector SPDRXLF33.33%
May 2013U.S. Consumer Discretion Sector SPDRXLY33.33%
May 2013U.S. Healthcare SPDRXLV33.33%
May 2013U.S. Consumer Staples Sector SPDRXLP33.33%
April 2013U.S. Healthcare SPDRXLV33.33%
April 2013U.S. Consumer Staples Sector SPDRXLP33.33%
April 2013iShares Dow Jones TransportsIYT33.33%
Current Holdings

This content is for Members Only.

Join Now.

Eligible ETF Universe
Exchange Traded FundSymbol
First Trust DJ Internet IndexFDN
iShares Nasdaq Biotechnology IndexIBB
iShares S&P N.A. Natural ResourcesIGE
iShares S&P Technology Index IGM
iShares DJ U.S. PharmaceuticalsIHE
iShares DJ U.S. Energy Sector IYE
iShares Dow Jones TransportsIYT
iShares Dow Jones TelecommIYX
PowerShares Aerospace & DefensePPA
S&P HomebuildersXHB
U.S. Sector Materials SPDRXLB
U.S. Energy Sector SPDRXLE
U.S. Financial Sector SPDRXLF
U.S. Industrial Sector SPDRXLI
U.S. Technology Sector SPDRXLK
U.S. Consumer Staples SPDRXLP
U.S. Utilities Sector SPDRXLU
U.S. Healthcare Sector SPDRXLV
U.S. Consumer Discretion Sector SPDRXLY
SPDR S&P Metal and MiningXME
SPDR U.S. Retail IndustryXRT
-1X ProShares Short S&P 500 IndexSH
Barclays Low Duration Treasury (2-yr)SHY
iShares iBoxx Invest Grade Bond (7-8yr)LQD
Share This