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 had an overweight in Materials and Consumer Discretionary, thanks to strong momentum (both price action and flows).
Consumer Discretionary also scored highly on the macroeconomic factor.
The underperformance of SSRM versus the benchmark was largely due to an underweight of Technology and Materials in May and Consumer Discretionary in July.