Objective

The investment objective of this portfolio is to provide long-term capital appreciation with lower Beta.

Strategy Description

The portfolio seeks to select SPDR Sector ETFs that are intrinsically high in News Media Sentiment and have a favorable Sentiment Momentum signal. The portfolio is actively managed with the goal of selecting the best investment opportunities while limiting volatility. There are 11 SPDR Sector ETFs that represent the categories like Technology, Energy, Utilities and the sector aggregate sentiment is derived from the market cap weighted average of the components of each of the sectors. These ETFs mirror the performance of the corresponding sector indices. The trading strategy is Equal weight, and the top 4 ETFs are selected on a weekly basis using a bi-factor ranking model that blends Daily Sentiment and Sentiment Momentum.

Model Performance