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AT A

GLANCE

The seasonal sector rotation strategy is built upon the precept that certain areas of the market place exhibit patterns over time which coincide with the calendar, and the US election cycle.

There are many ways to 'follow the trend' and one which we have built here is a combination of following cyclical trends which have held up for almost 50 years both on an annual basis and within the 4-year US election cycle. We have tested a wide range of different instruments, covering a diverse pool of sectors and industries, and our seasonal sector rotation strategy is the zenith of this. Trading ETF's to give a broader coverage of assets, this strategy has delivered consistently for two decades.

BY THE

NUMBERS

Inception

01/12/1998

Profitable Months

58.02%

Average Profit

0.061%

Best Year

2002

Total Number of Trades

249

Long Positions

103

Short Positions

146

Losing Months

41.98%

Drawdown

26.81%

Standard Deviation

6.20%

Average Loss

-0.031%

Best Month

30.81% Oct, 2015

Worst Month

-21.88% Oct,2008

Worst Year

2005

Average Annual Return

24.81%

Compounded Annual Growth Rate

22.90%

EQUITY

GROWTH

Starting balance of $1,000 USD

HISTORICAL

PERFORMANCE

Back test from 01/12/1998-31/12/2009 and forward test from 01/01/2009-01/08/2019

ASSET

ALLOCATION

INVESTMENT

STRATEGY

This Seasonal Sector Rotational Strategy works by cross referencing a list of of differing ETF's which cover the entire width and breadth of the market with our indicator matrix which we have developed.

This matrix is made up of multiple elements to determine which position should be held for the forth coming month. This ranking system take into consideration multiple facets including:

  • Month of Year

  • Year within US Election cycle

  • Fama-French 3-Factor Model

  • Relative Strength Index

  • Exponential Moving Average Cross Over

There are a few other key indicators we use, which is part of our intellectual property, and which we will not disclose. Each indicator produces a number which is then added up to give either a positive or negative score (positive meaning go long, and negative meaning go short). The instrument with the highest or lowest value is then selected for the following months trade.

The position sizing is 100% weighted at all times, being totally re-balanced at the end of each month, meaning unless cash has been selected as the investment of choice, all funds will be deployed all of the time.

The portfolio of possible ETF's we currently use are:

Over time, we believe this list will grow to include other ETF's which we feel would work well against our matrix. We aim to close out a position at the end of the trading day on the last trading day of the month, and look to enter our new position at the beginning of the first trading day of the month. With this strategy and all associated testing, there was no market timing model applied to try and get the most out of each trade. This is something which may be layered into the process in the future.

WHAT

NEXT?

Find out how this Seasonal Sector Rotation strategy makes up part of the Ubique Portfolio as a whole.

UBIQUE

PORTFOLIO

Explore how our other strategy makes up the Ubique portfolio to give a blended non-correlated approach to the market. understanding how both strategies work is integral to the process

GOLDEN

RATIO

FIND OUT

MORE

If you would like to find out more about how this particular startegy or the Ubique Portfolio as a whole works, then feel free to drop us a line; a Portfolio Manager will be more than happy to answer any questions you may have.