The ETF Portfolio Strategist - Sunday, June 13

Unmanaged beta risk remains in the lead this year for generating returns relative to our three risk-managed strategies. The Global Beta 16 Index (G.B16), which represents the 16-fund opportunity set for the proprietary portfolios, still enjoys a respectable lead.

G.B16 is up 10.3% in 2021 through Friday’s close (June 11). Two of the prop strategies are modestly behind with with 9.1% year-to-date gains; a third is deep in the hole on a relative basis via a 4.6% total return this year.

The longer-term record of the proprietary strategies is stronger, particularly in risk-adjusted terms. The question is whether G.B16’s recent leadership will be clipped? That would require a relatively severe, broad-based markets correction. Never say never, but that appears to be a low-risk scenario.

No wonder, then, that a buy-and-hold bias continues to run for the proprietary strategies. For a fourth straight week, no portfolio changes applied to Global Managed Volatility (G.B16.MVOL).

Global Managed Drawdown (G.B16.MDD) drifted through a third straight week of no rebalancing signals through Friday’s close. Meanwhile, Global Momentum (G.B16.MOM), thanks to its month-end rebalancing schedule, will hold its current profile through at least the end of the month.

For details on strategy rules and risk metrics in the tables provided, please see this ...

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