The table below provides the ranking of the Top 5 sector ETFs and their position relative to their 6-month moving average.
Data as of May 31, 2013
| Rank | ETF | Sector | Position / MA(6) |
|---|---|---|---|
| 1 | IYF | Financials | Above |
| 2 | IYH | Healthcare | Above |
| 3 | IYJ | Industrials | Above |
| 4 | IYC | Cons. Services | Above |
| 5 | IYK | Cons. Goods | Above |
Data as of May 31, 2013
| Month | Positions | Returns |
|---|---|---|
| December 2011 | IDU, IYK | +1.96% |
| January 2012 | IDU, IYK | +0.03% |
| February 2012 | IYH, IYJ | +1.38% |
| March 2012 | IYW, IYJ | +3.70% |
| April 2012 | IYF, IYW | -2.27% |
| May 2012 | IYC, IYW | -8.89% |
| June 2012 | TLT, IYC | +1.97% |
| July 2012 | IYC, IYF | -0.92% |
| August 2012 | IYZ, IDU | -0.36% |
| September 2012 | IYZ, IYH | +4.75% |
| October 2012 | IYZ, IYH | -2.25% |
| November 2012 | IYZ, IYH | -1.40% |
| December 2012 | IYZ, IYH | +3.20% |
| January 2013 | IYF, IYJ | +4.44% |
| February 2013 | IYF, IYJ | +0.79% |
| March 2013 | IYF, IYJ | +2.52% |
| April 2013 | IYF, IYJ | +0.45% |
| May 2013 | IYK, IYH | +1.5% |
| June 2013 | IYF, IYH | x |
| Year-to-Date | +10.0% |
Empirical studies all point towards a much stronger performance of rotation between different asset classes rather than between sectors. The graph below compares the performance of the above sector rotation strategy with an asset class rotation consisting of purchasing every month the Top 3 best performing asset classes.
The outperformance is outstanding, because the problem with a rotation limited to U.S. sectors is that the ETFs in this universe are highly correlated. When the universe is broadened to encompass all asset classes, this issue becomes less problematic and performance is boosted.
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Discussion
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Asset Allocation for May 2013 | My ETF Hedge Fund May 1, 2013
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Asset Allocation for June 2013 | My ETF Hedge Fund June 2, 2013
