U. S. Style Box 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

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Total Return
Performance Summary
Model Inception Date:12/31/2002Data as of 08/31/2018
ModelBenchmark
Total Return:828.5%347.1%
Compound Annual Growth (CAGR):15.3%10.0%
Sharpe Ratio:1.000.55
MAR Ratio: 0.910.16
Correlation to benchmark:0.34
Volatility: 14.018.2%
Maximum Drawdown:-16.3%-55.2%
Winning Period %:68.1%
Best Monthly Period:10.20%
Worst Monthly Period:-7.98%
Annual Returns
YEARU.S. Style Box Model Total ReturnBenchmark (SPY) Total Return
200350.3%28.25
200417.0%10.7%
20054.3%4.8%
200615.5%15.8%
200715.0%5.10%
200818.2%-36.80%
200919.9%
26.4%
20109.2%15.10%
201110.2%
1.90%
2012 7.2%
16.0%
201334.6%32.3%
20149.3%13.5%
2015 -6.8%1.3%
201613.2%12.0%
201720.4%21.7%
2018 (as of August 31)11.8%9.7%
Monthly Returns

 

 

 JanFebMarAprMayJunJulAugSeptOctNovDec
2003-0.15%
1.30%
-0.10%
7.54%10.20%0.70%7.03%
4.60%-2.84%8.50%3.98%
1.57%
20043.00%2.31%
-0.31%-4.99%1.92%3.05%-1.97%
2.32%1.06%1.30%5.70%
2.85%
2005-2.05%
3.02%-1.05%
-2.09%3.58%1.88%1.29%
-1.47%1.05%-3.09%
3.24%0.22%
20062.64%-0.33%
3.51%0.17%-3.04%0.53%2.86%0.94%1.93%3.22%1.99%0.23%
20071.08%
0.35%1.36%3.60%3.69%-1.74%-0.78%1.93%4.98%
4.96%-5.10%0.17%
20082.51%
1.65%1.13%-3.71%0.76%
-3.54%0.60%
-0.53%3.81%7.39%4.43%2.86%
20091.97%-0.44%-2.82%-5.20%4.22%1.74%8.01%2.36%5.22%-5.67%5.80%4.13%
2010-4.61%
3.93%
6.00%
3.89%
-7.98%-2.90%0.55%0.13%0.06%4.49%-0.54%6.91%
20110.64%
4.95%
2.03%3.61%-1.11%-1.71%-3.34%1.96%1.07%-0.63%0.31%2.31%
20120.44%
1.81%
4.17%
-0.65%
-4.30%
1.61%
1.67%
-0.22%
1.23%-0.82%-0.20%2.45%
20136.71%1.35%4.14%1.41%-0.31%-0.91%6.62%-2.04%
4.63%3.31%
3.15%2.43%
2014-2.41%5.14%-2.29%
1.24%1.13%3.27%
-3.67%4.33%-1.39%2.89%2.26%-1.10%
2015-0.50% 0.59%-0.96%-0.64%1.25%-0.53% 0.24%-6.06%0.94%-0.39%-0.32%-0.51%
2016-4.15%0.80%3.69%0.40%1.31%4.09%1.74%-1.49%
0.52%-3.76%6.80%3.42%
2017-0.12%2.45%0.53%2.48%3.24%-1.29%3.34%1.29%0.87%2.70%3.01%0.35%
20187.9%-1.95%-2.10%-0.24%0.87%0.57%2.30%4.28%
Historical holdings
Monthly PeriodExchange Traded FundSymbolPercent Holding
August 2018iShares Russell 2000 ValueIWN50%
August 2018iShares Russell 2000 GrowthIWO50%
July 2018iShares Russell 2000 ValueIWN50%
July 2018PowerShares Nasdaq-100 IndexQQQ50%
June 2018iShares Russell 2000 ValueIWN50%
June 2018iShares Russell 2000 GrowthIWO50%
May 2018iShares DJ Select Dividend IndexDVY
May 2018Barclays Low Duration Treasury (2-yr)SHY
April 2018iShares Russell Midcap GrowthIWP50%
April 2018 PowerShares Nasdaq-100 IndexQQQ50%
March 2018iShares Russell Midcap GrowthIWP50%
March 2018PowerShares Nasdaq-100 IndexQQQ50%
February 2018 iShares Russell 1000 GrowthIWF50%
February 2018PowerShares Nasdaq-100 IndexQQQ50%
January 2018iShares Russell 1000 GrowthIWF50%
January 2018PowerShares Nasdaq-100 IndexQQQ50%
December 2017iShares Russell 2000 GrowthIWO50%
December 2017 iShares Russell Midcap GrowthIWP50%
November 2017iShares Russell 1000 GrowthIWF50%
November 2017iShares MSCI USA Minimum Volatility IndexUSMV50%
October 2017 iShares Russell 1000 GrowthIWF50%
October 2017iShares Russell 2000 GrowthIWO50%
September 2017 iShares Russell 1000 GrowthIWF50%
September 2017 iShares MSCI USA Minimum Volatility IndexUSMV50%
August 2017iShares Russell 1000 GrowthIWF50%
August 2017iShares MSCI USA Minimum Volatility IndexUSMV50%
July 2017iShares Russell 1000 GrowthIWF50%
July 2017PowerShares Nasdaq-100 IndexQQQ50%
June 2017iShares Russell 1000 GrowthIWF50%
June 2017PowerShares Nasdaq-100 IndexQQQ50%
May 2017 iShares Russell 1000 GrowthIWF50%
May 2017 PowerShares Nasdaq-100 IndexQQQ50%
April 2017iShares Russell 1000 GrowthIWF50%
April 2017PowerShares Nasdaq-100 IndexQQQ50%
March 2017 iShares Russell 1000 ValueIWD50%
March 2017PowerShares Nasdaq-100 IndexQQQ50%
February 2017 iShares Russell 1000 ValueIWD50%
February 2017 iShares Russell 2000 ValueIWN50%
January 2017iShares Russell 1000 ValueIWD50%
January 2017 iShares Russell 2000 ValueIWN50%
December 2016iShares Russell 1000 ValueIWD50%
December 2016iShares Russell 2000 ValueIWN50%
November 2016PowerShares Nasdaq-100 IndexQQQ50%
November 2016iShares Russell 2000 GrowthIWO50%
October 2016 iShares Russell 2000 GrowthIWO50%
October 2016 PowerShares Nasdaq-100 IndexQQQ50%
September 2016iShares DJ Select Dividend IndexDVY50%
September 2016iShares Russell 2000 ValueIWN50%
August 2016iShares MSCI USA Minimum Volatility IndexUSMV50%
August 2016 iShares DJ Select Dividend IndexDVY50%
July 2016 iShares MSCI USA Minimum Volatility IndexUSMV 50%
July 2016iShares DJ Select Dividend IndexDVY50%
June 2016iShares DJ Select Dividend IndexDVY50%
June 2016iShares MSCI USA Minimum Volatility IndexUSMV50%
May 2016iShares DJ Select Dividend IndexDVY50%
May 2016iShares MSCI USA Minimum Volatility IndexUSMV50%
April 2016iShares DJ Select Dividend IndexDVY50%
April 2016iShares MSCI USA Minimum Volatility IndexUSMV50%
March 2016iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
March 2016Barclays Low Duration Treasury (2-yr)SHY50%
February 2016iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
February 2016Barclays Low Duration Treasury (2-yr)SHY50%
January 2016PowerShares Nasdaq-100 IndexQQQ50%
January 2016iShares MSCI USA Minimum Volatility IndexUSMV50%
December 2015iShares Russell 1000 GrowthIWF50%
December 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
November 2015iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
November 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
October 2015iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
October 2015Barclays Low Duration Treasury (2-yr)SHY50%
September 2015iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
September 2015Barclays Low Duration Treasury (2-yr)SHY50%
August 2015iShares Russell 2000 GrowthIWO50%
August 2015 iShares MSCI USA Minimum Volatility IndexUSMV50%
July 2015iShares Russell 2000 GrowthIWO50%
July 2015 Barclays Low Duration Treasury (2-yr)SHY 50%
June 2015iShares Russell 2000 GrowthIWO50%
June 2015PowerShares Nasdaq-100 IndexQQQ50%
May 2015iShares Russell 1000 GrowthIWF50%
May 2015iShares Russell Midcap GrowthIWP50%
April 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
April 2015 iShares Russell Midcap GrowthIWP50%
March 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
March 2015iShares Russell 1000 GrowthIWF50%
February 2015 iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
February 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
January 2015iShares DJ Select Dividend IndexDVY50%
January 2015iShares MSCI USA Minimum Volatility IndexUSMV50%
December 2014PowerShares Nasdaq-100 IndexQQQ50%
December 2014iShares MSCI USA Minimum Volatility IndexUSMV50%
November 2014iShares DJ Select Dividend IndexDVY50%
November 2014iShares MSCI USA Minimum Volatility IndexUSMV50%
October 2014iShares Barclays 7-10 Yr Treasury (7-8yr)IEF50%
October 2014iShares MSCI USA Minimum Volatility IndexUSMV50%
September 2014iShares Russell 1000 ValueIWD50%
September 2014PowerShares Nasdaq-100 IndexQQQ50%
August 2014iShares Russell 1000 ValueIWD50%
August 2014PowerShares Nasdaq-100 IndexQQQ50%
July 2014iShares DJ Select Dividend IndexDVY50%
July 2014iShares Russell Midcap ValueIWS50%
June 2014iShares DJ Select Dividend IndexDVY50%
June 2014iShares Russell Midcap ValueIWS50%
May 2014iShares DJ Select Dividend IndexDVY50%
May 2014iShares Russell Midcap ValueIWS50%
April 2014iShares DJ Select Dividend IndexDVY50%
April 2014 iShares Russell Midcap ValueIWS50%
March 2014 PowerShares Nasdaq-100 IndexQQQ50%
March 2014 iShares Russell Midcap GrowthIWP50%
February 2014PowerShares Nasdaq-100 IndexQQQ50%
February 2014iShares Russell 1000 GrowthIWF50%
January 2014PowerShares Nasdaq-100 IndexQQQ50%
January 2014iShares Russell 1000 GrowthIWF50%
December 2013PowerShares Nasdaq-100 IndexQQQ50%
December 2013iShares Russell 2000 GrowthIWO50%
November 2013PowerShares Nasdaq-100 IndexQQQ50%
November 2013iShares Russell 1000 GrowthIWF50%
October 2013PowerShares Nasdaq-100 IndexQQQ50%
October 2013iShares Russell 2000 GrowthIWO50%
September 2013PowerShares Nasdaq-100 IndexQQQ50%
September 2013iShares Russell 1000 GrowthIWF50%
August 2013 iShares Russell Midcap GrowthIWP50%
August 2013iShares Russell 2000 GrowthIWO50%
July 2013iShares Russell 1000 ValueIWD50%
July 2013iShares Russell 2000 GrowthIWO50%
June 2013iShares Russell 1000 ValueIWD50%
June 2103iShares Russell 2000 GrowthIWO50%
Current Holdings

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Eligible ETF Universe
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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