U.S. Style Rotation

The strategy is a rules-based tactical ETF model with the objective of long-term capital appreciation while minimizing risk.

Strategy Description

The style of equity investments is determined by size and value/growth characteristics. During the market cycle, different investment styles rotate in and out of favor.  This strategy attempts to take advantage of this rotation by using a rules-based approach to determine the top two ETFs to invest in from a basket of U.S. style ETFs.

During down markets, the model uses our downside risk protector© to invest in cash or short-term securities.  This allows for growth potential while managing risk.

The three company capitalization sizes – Small Cap, Mid Cap, and Large Cap – combined with Growth, Value, and Blend, or Core, create the nine different styles of companies.

The U.S. Style Rotation model rebalances monthly.


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

Volatility measures the change in the price of an investment.  The higher the volatility, the higher the difference between the high and the low of an investment’s price.

The 12 Month Rolling ROR is the compound rate of return for the last 12 months.  The rate of return is the gain or loss on an investment over a specified time period, expressed as a percentage of the investment’s cost.

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