On a month-to-date basis, strategies went from virtually flat last week into negative territory this week as underwhelming jobs data and pessimism surrounding a U.S. and China trade talks drove equity prices lower. However, during the month-to-date time frame, “Passive” strategies (which have exposure to fixed income securities) experienced a lesser drawdown than most other strategies as they benefited from their fixed income exposure.
Comments on this week’s report:
- Over the trailing 3-months Sector Rotation has been the clear winner as its largely overweight exposure to industrials and technology (i.e. nearly 30% each) has significantly contributed to its outperformance. However, over the trailing 1-year it is largely underperforming for the same reason.
- Contrary to Sector Rotation, Low-volatility is outperforming all other listed strategies by a large margin on a 1-year basis as it benefited from its relatively lower drawdown during the stock market correction at the end of 2018, while still participating in the more recent stock market rally.
- Despite the relatively poor performance from Momentum based equities over the trailing 1-year, over the trailing 3-year and 5-year periods they have largely outperformed as in those time frames the market has primarily experienced upward momentum.