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.
Definitions
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.
