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Global Sector Rotation Strategy V1.0

by Alexander Horn, 3799 days ago
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This trading system reproduces the Global Sector Rotation (GSRS) Investment Strategy developed by Frank Grossmann
http://www.logical-invest.com
http://www.logical-invest.com/strategy/global-sector-rotation-low-volatility
http://www.logical-invest.com/strategy/global-sector-rotation-aggressive


The strategy switches, on a monthly basis, between different global sector ETFs. The 27 Sector ETFs and 5 bond ETFs are:

CUT - Guggenheim Beacon Global Timber Equities
EXI - iShares S&P Global Industrials
FAN - First Trust ISE Global Wind Energy
GEX - Market Vectors Global Alternative Energy
GNR - SPDR S&P Global Natural Resources
GURU - Global X Top Guru Holdings
IGF - iShares S&P Global Infrastructure Index
IXC - iShares S&P Global Energy Sector Index
IXG - iShares S&P Global Financials
IXJ - iShares S&P Global Healthcare Sector
IXN - iShares S&P Global Technology
IXP - iShares S&P Global Telecom Sector
KOL - Market Vectors Global Coal
KXI - iShares S&P Global Consumer Staples
LIT - Global X Solactive Lithium Index
MOO - Market Vectors Agribusiness
NLR - Market Vectors Nuclear Energy
PIO - PowerShares Palisades Global Water
PKW - PowerShares Buyback Achievers
REMX - Market Vectors Rare Earth Strategic Metals
RWX - SPDR DJ International Real Estate
RXI - iShares S&P Global Consumer Discret
SEA - Guggenheim Delta Global Shipping Index
SLX - Market Vectors Global Steel
SOIL - GlobalX Solactive Fertilizers-Potash
TAN - Guggenheim MAC Global Solar Energy

During market corrections the strategy will invest in:
CWB - SPDR Barclays Convertible Bond
EDV - Vanguard Extended Duration Tsy (25+yr)
TLH - iShares Barclays 10-Year Treasury (9-11yr)
TLT- iShares Barclays Long-Term Trsry (15-18yr)
SHY (cash) - Barclays Low Duration Treasury (2-yr)

Paper performance stats:
annual performance 2008-2013      28.07%      
volatility      14.8      25.2      
sharpe ratio      1.78      
max draw down      -12.31%      


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Type: Trading System

Object ID: 1478


Country:
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Market: ETF Market

Style:
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Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.