Strategy Description  

This strategy is intended to be a core fixed-income strategy for investors seeking to add an income component to their portfolio. 

 The strategy is a blend of two dual-momentum strategies. The model universe of includes:

Senior Loans (BKLN), Floating Rates (FLOT), GNMAs (GNMA), High Yield (HYG), Intermediate US Government Bonds (IEF), Short-term Treasury (SHV), 1-3 year Treasuries (SHY), and Treasury Inflation Protection Securities ( TIP). 

During each rebalance window, the top ETF from each strategy is selected and held equal-weight.  The strategy also applies our Downside Risk Protector®


The model is rebalanced monthly.


Sharpe Ratio – the average return earned in excess of the risk-free rate.  A higher Sharpe Ratio is better

Risk-Free Rate – represents the interest an investor would expect from an absolutely risk-free investment over a specified period of time.

Sortino Ratio – another measure of risk that takes into account the downside deviation of the asset.  A higher Sortino Ratio is better.

What is drawdown?

Drawdown is the measure from the highest high to the lowest low or peak to trough during a specific time period.  It is an important measurement of risk.  A larger drawdown requires a more significant increase in the security to recover.