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Relative Strength Sector Rotation

for period ending November 30, 2018
 
This portfolio recipe is provided by VizMetrics.
t.srrs is the Recipe ID for this portfolio recipe. This Recipe ID appears in the scatterplots below and on the Summary Page showing all portfolio recipes. You can invest in this portfolio recipe using the Recipe Ingredients listed below at FolioInvesting.com or your favorite brokerage. See How to Invest (below) for more details on how buy this portfolio recipe.
 
Use this page to find a high return, lower risk portfolio recipe using the Choose – Invest – RebalanceTM process
 

How to Choose

Risk vs. return for t.srrs:   The scatterplots below show the best portfolio recipes as dots closest to the green smiley the at top left of each scatterplot. The yellow dot shows the total return and risk for this portfolio recipe. The risk is measured by maximum loss over each period. Any dot closer to the top left corner has shown better performance using this metric.

For more metrics (Total Return, Risk and Volatility, Correlation) scroll down on this page. The Summary Page compares all portfolio recipes.
Maximum Drawdown vs. Annual Return
t.srrsPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.srrs and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
 
Description   Relative Strength Sector Rotation gives investors access to a dynamic portfolio that uses an asset allocation algorithm that chooses U.S. sector exchange-traded funds to invest in based on recent returns. This portfolio recipe uses exchange-traded funds and uses a dynamic sector allocation algorithm which buys up to 9 sector ETFs. The algorithm buys each asset whose return is above its 10-month simple moving average, and sells when the asset's return falls below its 10-month simple moving average..

Category   Tactical: DIY. This portfolio recipe is tactical (dynamic) and do-it-yourself.

Ingredients used   This portfolio recipe invests in up to nine exchange-traded funds (ETFs) chosen from a set of U.S. SPDR sector funds..

Peer Group   Tactical: DIY

You can see how this recipe has performed compared to its peers by clicking on any "Rank: Group" link in the Compare sections, below.

Methodology   This portfolio recipe is created using an algorithm that chooses up to nine sector exchange-traded funds at a time. The Relative Strength Sector Rotation uses a tactical (also called "dynamic" or "active") asset allocation approach. This portfolio recipe is allowed to choose from a set of 9 U.S. sector funds that represent the major industrial sectors. The steps to create this portfolio are as follows:
  1. VizMetrics calculates the 10-month total return and 10-month simple moving average total return for each of the nine sector exchange-traded funds.
  2. VizMetrics chooses to invest equally in all the ETFs whose whose 10-month total return is above its 10-month simple moving average total return. VizMetrics sells any ETFs whose 10-month total return falls below its 10-month simple moving average total return.
  3. If less than 4 sectors are above their 10-month simple moving average total return, then invest in cash as follows: if 3 above=25% cash; 2 above=50% cash; 1 above=75% cash; 0 above=100% cash.
  4. VizMetrics repeats the process at the end of each month.
Cost   Access to this portfolio recipe is included at no extra charge as part of your VizMetrics Investor subscription. You can invest in this portfolio recipe using the Recipe Ingredients listed below at FolioInvesting.com or your favorite brokerage. This portfolio works with the Folio Unlimited Plan at FolioInvesting.com which allows you to purchase and rebalance all the underlying ETFs in one simple transaction. See How to Invest, below.
 

How to Invest

Recipe ingredients for this portfolio recipe appear on this page only if you have subscribed to VizMetrics Investor. Upgrade your subscription to see the full list of recipe ingredients and % allocation to each ingredient.

Once you have subscribed to VizMetrics Investor, you can invest using this portfolio recipe at FolioInvesting.com. Buy and rebalance with just a few clicks.

Or you can also use the recipe ingredients on this page to invest at your favorite brokerage. For details on how to invest using this portfolio recipe, see How to Invest in a tactical portfolio
 

How to Rebalance

Update frequency:   The recipe for this portfolio can change monthly. In other words, the ingredients and percentage allocation to each ingredient can change at the beginning of each month. Therefore, this portfolio requires a few minutes each month to buy or sell the ingredients to match the updated portfolio recipe.

Where to get the recipe updates&nsbp;&nsbp;This portfolio recipe is available to VizMetrics Investor subscribers. Upgrade your subscription. After subscribing, the exact recipe (ingredient plus percentage allocation to each ingredient) appears on this page under a new section labelled "Recipe ingredients"Rebalancing steps
If you've invested with this recipe (using the "recipe ingredients for FolioInvesting.com" above), you can quickly rebalance each month using the automated tools at FolioInvesting.com. See How to rebalance your portfolio
If you've invested at another brokerage, you need to update this portfolio each month to adhere to this portfolio's recipe. See How to rebalance your portfolio

Compare: Risk vs. Return

for period ending November 30, 2018
VizMetricsTM Score This is a 0 to 100 score that measures risk-adjusted return
 1 year3 year5 year7 year10 year
t.srrs78100100100100
Peer Group* average7094979399
60% Equity / 40% Bonds89100100100100
Global Equities (ACWI)63100959697
U.S. Equities (SPY)89100100100100
U.S. Bonds (BND)888510089100
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Downside Deviation vs. Annual Return
t.srrsPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.srrs and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
Standard Deviation vs. Annual Return
t.srrsPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.srrs and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
M-squared
 1 year3 year5 year7 year10 year
t.srrs-2.6%-0.4%-0.8%-0.5%-0.1%
Peer Group* average-8.2%-3.8%-3.8%-5.9%-1.2%
60% Equity / 40% Bonds-2.4%-0.6%0.3%0.3%2.0%
Global Equities (ACWI)-6.6%-3.1%-4.9%-5.5%-4.9%
U.S. Equities (SPY)0.0%0.0%0.0%0.0%0.0%
U.S. Bonds (BND)-19.0%-9.8%-5.6%-8.8%-1.7%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Alpha
 1 year3 year5 year7 year10 year
t.srrs-2.4%0.3%0.6%0.9%2.4%
Peer Group* average-5.1%0.4%0.6%0.3%4.2%
60% Equity / 40% Bonds-1.4%-0.3%0.4%0.4%1.4%
Global Equities (ACWI)-6.3%-2.5%-4.4%-4.8%-4.8%
U.S. Equities (SPY)0.0%0.0%0.0%0.0%0.0%
U.S. Bonds (BND)-3.4%0.2%1.5%1.6%3.1%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Sharpe
 1 year3 year5 year7 year10 year
t.srrs0.171.100.961.301.03
Peer Group* average-0.310.770.670.800.96
60% Equity / 40% Bonds0.171.081.051.381.18
Global Equities (ACWI)-0.160.840.570.850.72
U.S. Equities (SPY)0.381.141.031.351.05
U.S. Bonds (BND)-1.230.130.470.510.91
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Total Return

for period ending November 30, 2018
5-year graph t.srrsGlobal equities (ACWI)U.S. equities (SPY)U.S. bonds (BND)60% Equity / 40% Bonds (s.6040)
Total Return (Compound Annual Growth Rate)
 Year-to-dateNov 20181 year3 year5 year7 year10 year
t.srrs2.1%3.6%3.2%10.0%8.8%12.2%10.4%
Peer Group* average-1.5%1.6%-0.6%7.2%6.0%7.3%10.4%
60% Equity / 40% Bonds2.0%1.5%2.9%7.6%7.2%9.3%10.3%
Global Equities (ACWI)-2.1%1.6%-0.6%8.9%6.2%9.4%10.7%
U.S. Equities (SPY)4.6%1.9%5.9%11.9%10.9%14.3%14.2%
U.S. Bonds (BND)-1.8%0.6%-1.3%1.3%2.0%1.9%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: AllRank: AllRank: All
Historical Return
 20132014201520162017
t.srrs31.6%15.7%-4.5%10.3%19.8%
Peer Group* average13.0%12.0%-5.0%8.0%17.5%
60% Equity / 40% Bonds18.1%9.9%0.7%8.8%13.9%
Global Equities (ACWI)22.3%2.4%-2.2%8.4%24.3%
U.S. Equities (SPY)32.3%13.5%1.3%12.0%21.7%
U.S. Bonds (BND)-2.1%5.8%0.6%2.5%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Risk & Volatility

for period ending November 30, 2018
Maximum Drawdown
 1 year3 year5 year7 year10 year
t.srrs-8.0%-8.0%-10.0%-10.0%-16.8%
Peer Group* average-8.1%-8.7%-11.7%-12.0%-14.6%
60% Equity / 40% Bonds-4.9%-4.9%-5.2%-5.2%-11.9%
Global Equities (ACWI)-8.8%-8.8%-13.4%-13.4%-21.9%
U.S. Equities (SPY)-6.9%-6.9%-8.5%-8.5%-18.1%
U.S. Bonds (BND)-2.4%-3.7%-3.7%-4.0%-4.0%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Standard Deviation
 1 year3 year5 year7 year10 year
t.srrs11.6%8.7%9.3%9.7%10.7%
Peer Group* average9.3%8.7%9.0%9.1%11.7%
60% Equity / 40% Bonds7.5%6.4%6.6%6.7%9.1%
Global Equities (ACWI)11.2%10.2%10.9%11.6%17.0%
U.S. Equities (SPY)12.2%10.3%11.0%11.3%15.0%
U.S. Bonds (BND)2.4%2.8%2.9%2.9%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Downside Deviation
 1 year3 year5 year7 year10 year
t.srrs8.8%5.7%6.0%5.9%6.6%
Peer Group* average7.1%5.6%5.7%5.6%6.6%
60% Equity / 40% Bonds5.7%4.1%4.0%3.9%5.3%
Global Equities (ACWI)8.8%6.7%7.1%7.4%10.5%
U.S. Equities (SPY)8.8%6.4%6.5%6.4%9.0%
U.S. Bonds (BND)2.0%2.0%1.8%1.9%1.9%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Beta
 1 year3 year5 year7 year10 year
t.srrs0.930.800.740.790.56
Peer Group* average0.650.530.460.470.42
60% Equity / 40% Bonds0.620.630.600.610.62
Global Equities (ACWI)0.930.950.971.001.10
U.S. Equities (SPY)1.001.001.001.001.00
U.S. Bonds (BND)0.060.01-0.01-0.010.00
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Correlation

for period ending November 30, 2018
 1 year3 year5 year7 year10 year
to Global Stocks (ACWI)0.940.850.800.820.67
to S&P500 (SPY)0.960.930.860.890.75
to U.S. Bonds (BND)0.270.070.050.05-0.06
to Commodities (DBC)0.200.190.150.240.32
to Gold (GLD)-0.00-0.07-0.12-0.010.02