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
The strategy allocated mostly to cash this month due to the lack of momentum in sectors (negative flows and/or negative 12-month momentum). With a 70% weighting, Momentum is still the most important pillar in the SSRM.
Utilities saw a slight overweight by virtue of stronger earnings revision sentiment
The underperformance of the US SSRM this month was mainly due to an underweight in Financials, which saw significant positive performance (17%) in November.