U.S. monetary policy and growing concerns on the global economy has dominated market sentiment recently and has listed strategies mixed on a month-to-date basis. That said, portfolios with exposure to fixed income securities (such as those listed as “Passive” in the chart below) have had a relatively strong performance month-to-date as the Fed’s dovish tone and global economic concerns had interest rates move lower.
Comments on this week’s report:
- Over the trailing three months Sector Rotation has largely outperformed all other listed strategies as it currently is highly concentrated in the technology and industrial sectors (approximately 30% each). However, for that same reason Sector Rotation has underperformed over the trailing 1-year period as its lack of diversification causes its returns to be more volatile and risky.
- 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.
- Quality based equities (which are measured on ROE, accrual ratio, and financial leverage) have performed relatively well in all time frames as it remains at the top of the heap.
- Momentum based equities have outperformed over the trailing 3-year and 5-year periods as during those time frames the stock market has primarily experienced upward momentum.