Global Market Rotation Strategy Enhanced

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Global Market Rotation Strategy Enhanced 2017-03-15T23:23:31+00:00

Project Description

The Global Market Rotation Enhanced (GMRE) strategy is one of our core investment strategies. The strategy invests on a monthly basis in one of five global markets. The Global Market Rotation Enhanced strategy invests in inverse medium term volatility during periods of low volatility. Due to constant strong contango of the VIX futures, this addition allowed us to boost the annual performance to 69% in the last 3 years.
Even with the added volatility ETF, this strategy is still a conservative approach to maximize your portfolio return and on the same time minimize the risk of losses during financial crisis. During the 2008 financial crisis the S&P500 lost more than 55%. During this difficult time this strategy switched to secure US Treasury’s (EDV) or even to cash (SHY). The Global Market Rotation Enhanced strategy ended the year 2008 even with a solid gain of 64% compared to a loss of -36.8% for a S&P500 investment.

The reward to risk ratio (Sharpe Ratio) of this strategy is 1.4 compared to 0.37 for a S&P500 investment. This means that since 2003 you made 37.6x more money with this strategy compared to an average S&P500 investment and this with considerably less risk.

Research is undertaken to ensure that the diversified mix of asset classes is appropriate for the desired level of risk. Specific ETFs are screened and chosen to best represent the asset class, while also maintaining low management fees and index tracking error.
These 5 Markets are:

  • US Market (MDY – S&P MidCap 400 SPDRs)
  • Europe (FEZ – SPDR Euro STOXX 50, until July 2013 IEV S&P Europe 350)
  • Emerging Markets (EEM – iShares MSCI Emerging Markets)
  • Latin America (ILF – iShares S&P Latin America)
  • Pacific region (EPP – iShares MSCI Pacific ex-Japan)

During financial crisis we invest in:

  • US Treasury Bonds (EDV – Vanguard Extended Duration Tsy (25+yr))
  • Cash (SHY – Barclays Low Duration US Treasury)During periods of low volatility we invest in:
  • Inverse medium term volatility (ZIV – VelocityShares Inverse VIX Medium-Term)The ZIV ETF was only added to the back test since 2011



Risk and Performance Profile

Risk Score:?
Performance:
3 Months12 MonthsSince Inception
Return
CAGR
Volatility
DrawDown
Sharpe
Annual Performance vs. Benchmark

The Global Market Rotation Enhanced (GMRE) strategy is one of our core investment strategies. The strategy invests on a monthly basis in one of five global markets. The Global Market  Rotation Enhanced strategy invests in inverse medium term volatility during periods of low volatility. Due to constant strong contango of the VIX futures, this addition allowed us to boost the annual performance to 69% in the last 3 years.

These 5 Markets are:

  • US Market (MDY – S&P MidCap 400 SPDRs)
  • Europe (FEZ – SPDR Euro STOXX 50, until July 2013 IEV S&P Europe 350)
  • Emerging Markets (EEM – iShares MSCI Emerging Markets)
  • Latin America (ILF – iShares S&P Latin America)
  • Pacific region (EPP – iShares MSCI Pacific ex-Japan)

During financial crisis we invest in:

  • US Treasury Bonds (EDV – Vanguard Extended Duration Tsy (25+yr))
  • Cash (SHY – Barclays Low Duration US Treasury)

During periods of low volatility we invest in:

  • Inverse medium term volatility (ZIV – VelocityShares Inverse VIX Medium-Term)
    The ZIV ETF was only added to the back test since 2011

Even with the added volatility ETF, this strategy is still a conservative approach to maximize your portfolio return and on the same time minimize the risk of losses during financial crisis. During the 2008 financial crisis the S&P500 lost more than 55%. During this difficult time this strategy switched to secure US Treasury’s (EDV) or even to cash (SHY). The Global Market  Rotation Enhanced strategy ended the year 2008 even with a solid gain of 64% compared to a loss of -36.8% for a S&P500 investment.

The reward to risk ratio (Sharpe Ratio) of this strategy is 1.4 compared to 0.37 for a S&P500 investment. This means that since 2003 you made 37.6x more money with this strategy compared to an average S&P500 investment and this with considerably less risk.