The ETF Portfolio Strategist: Finally, Some Benchmark-Beating Returns

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Finally, some alpha. Two of our three proprietary strategies dispensed some benchmark-beating returns last week (through June 4) after a stretch of underperformance. A third matched the benchmark, Global Beta 16 (G.B16), which continually holds the 16-fund opportunity set (shown in the table at the end of this update).

For the year-to-date and one-year trailing periods, however, G.B16 still has the edge by a comfortable margin. Dumb beta, in other words, still looks pretty smart in recent history. For details on strategy rules and risk metrics in the tables below, please see this summary.

Proprietary Strategies

Proprietary Strategies
Portfolio Strategy Benchmarks

Portfolio Strategy Benchmarks
Portfolio Strategy Wealth Indexes Vs Benchmarks

Portfolio Strategy Wealth Indexes Vs Benchmarks

On the rebalancing front, all was quiet last week, again. For a second week in a row, Global Managed Drawdown (G.B16.MDD) maintained a full-out risk-on position for all 16 funds. For Global Managed Volatility (G.B16.MVOL), it’s three straight weeks of a complete risk-on profile. Meantime, Global Momentum (G.B16.MOM) is on a month-end rebalancing schedule and so its May 31 profile (13 of 16 funds are risk-on) remains intact until at least the end of June.

G.B16.MDD Buy/Sell Signals

G.B16.MDD Buy/Sell Signals
G.B16.MVOL Buy/Sell Signals

G.B16.MVOL Buy/Sell Signals
G.B16.MOM Buy/Sell Signals

G.B16.MOM Buy/Sell Signals
GB 16 ETFs Ranked By 1-Week Returns

GB 16 ETFs Ranked By 1-Week Returns
G.B 16 ETFs Sectors

G.B 16 ETFs Sectors

Read more at : https://www.investing.com/analysis/the-etf-portfolio-strategist-finally-some-benchmarkbeating-returns-200584528

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