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Below readers can find commentary on the key changes to our Sector Selection Research Model (SSRM) across US, Europe and World sectors. This is done as an update to the thought leadership piece we published on Sector Rotation: Can the Approach Work in Different Countries?
As a reminder, the SSRM deploys a rule-based, sector rotation approach that targets the most relatively attractive sectors using a blend of price, macroeconomic and fundamental factors. The importance of these selection factors is captured in the dynamic weighting scheme of the research model.
Furthermore, the model provides for a mechanism that ensures risk is controlled and opportunities arising from dispersion are seized. In all, the approach comprises two major steps: sector selection and sector weighting.
US Sector Allocation
Performance of SSRM vs. Benchmark
US Sector Selection Research model (NTR) | S&P 500 (NTR) | Difference | |
MTD Return | 4.3% | 7.1% | -2.9% |
YTD Return | 9.2% | 11.4% | -2.2% |
Rolling 1 Year Return | 17.5% | 21.9% | -4.4% |
Rolling 1 Year Risk | 19.9% | 22.0% | - |
Source: State Street Global Advisors, Bloomberg Finance L.P., as of September 2020. Past performance is no guarantee of future results. It is not possible to invest directly into an index. Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Returns do not represent those of the Portfolios but were achieved by mathematically combining the actual performance data of the sector indices that make up the S&P 500 Index, based on the methodology in the research paper: Sector rotation: Can it work in different countries? The performance does not include costs, so actual results will differ
SSRM Sector Allocation – August 2020 vs. September 2020