On a quarterly basis, we provide an update on our Sector Selection Research Model. Read on to learn more about recent US, Europe and World sector allocations based on price, macroeconomic and fundamental factors.
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
Source: State Street Global Advisors, Bloomberg Finance L.P., as of June 2021. 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 – April 2021 vs. May 2021
Source: State Street Global Advisors, as of June 2021. Sector selection is based on the methodology Sector Rotation: Can the Approach Work in Different Countries?
Research Model Allocation Decisions – Current Month*
Source: State Street Global Advisors, as of June 2021. Sector selection is based on the methodology Sector Rotation: Can the Approach Work in Different Countries?
Europe Sector Allocation
Performance of SSRM vs. Benchmark
Source: State Street Global Advisors, Bloomberg Finance L.P., as of June 2021. 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 MSCI Europe 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 – April 2021 vs. May 2021
Source: State Street Global Advisors, as of June 2021. Sector selection is based on the methodology in the paper, Sector Rotation: Can the Approach Work in Different Countries?
Research Model Allocation Decisions – Current Month*
Source: State Street Global Advisors, as of June 2021. Sector selection is based on the methodology Sector Rotation: Can the Approach Work in Different Countries?
World Sector Allocation
Performance of SSRM vs. Benchmark
Source: State Street Global Advisors, Bloomberg Finance L.P., as of June 2021. 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 MSCI World 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 – January 2021 vs. February 2021
Source: State Street Global Advisors, as of March 2021. Sector selection is based on the methodology Sector Rotation: Can the Approach Work in Different Countries?
Research Model Allocation Decisions – Current Month*
Source: State Street Global Advisors, as of June 2021. Sector selection is based on the methodology Sector Rotation: Can the Approach Work in Different Countries?
*Key: Over-/Underweight (versus corresponding benchmark)