MARKET CONDITION
CURRENT ALLOCATION
market condition
current allocation
INDICATORS USED IN THIS MODEL:
INDICATOR
TIME-FRAME
STATUS
LAST CHANGE
LONG
NONE
Jan 1, 2001
SHORT
NONE
Jan 1, 2001
SEASONAL
NONE
Jan 1, 2001
SECTOR
ALLOCATION
ETF EXAMPLE
MUT. FND. EX.
The Risk Number® from Nitrogen is an objective, quantitative measurement of an investor’s true risk tolerance and the risk in a portfolio. The patented technology calculates a “risk score” on a scale from 1-99, utilizing a scientific framework that won the Nobel Prize for Economics.
The "S&P 500" performance used above is the SPY ETF. The "60/40" performance used above is the VBINX Vanguard Balanced Index Fund ETF.
Reallocation monthly.
Unscheduled activity occurs when the indicators change to or from a "both positive" condition.
When both the DELTA-V and the STARPATH indicators are positive.
When either the DELTA-V or the STARPATH indicator is negative.
Sectors are typically more volatile than style-boxes. Monthly reallocation is employed to help minimize and manage the higher volatility.
Model Description
The Sector Rotation 2 model is a shorter-term, higher-activity Model designed to
provide exposure to stock market sectors while limiting downside risk.
Risk Management is implemented by utilizing the longer-term Delta-V indicator
in conjunction with the shorter-term Starpath indicator. When both are positive,
the Sector Rotation 2 model is invested in the four top-ranked type 3s on the
indicator and rankings page.
When either of the indicators are negative, the model is invested using the
Calendar Effects strategy, which reduces time-weighted market exposure by
approximately 72%.
Construction
When both the Delta-V and the Starpath indicator are positive, the top four Type
3’s (Sectors) on the indicator and rankings page are held with monthly
reallocation.
When either the Delta-V or the Starpath indicator is negative, the Sector Rotation
2 model is 100% invested according to the Calendar Effects strategy. See the
Calendar Effects model page for more detail.
Portfolios are reallocated Monthly and at indicator changes.
The performance returns illustrated do not represent actual client accounts and are net of the highest management fee and trading costs which is 0.80%. Returns reflect since inception, one, five and ten‐year periods, and are reflected in U.S. dollars and assume that dividends are reinvested.
The strategies employed may involve technical trading techniques such as trend analysis, relative strength, moving averages, various momentum and related strategies. Technical trading models utilize mathematical algorithms to attempt to identify when markets are likely to increase or decrease and identify appropriate entry and exit points. The primary risk of technical trading models is that historical trends and past performance cannot predict future trends and there is no assurance that the mathematical algorithms employed are designed properly, new data is accurately incorporated, or the software can accurately predict future market, industry and sector performance.
