The ETF Portfolio Strategist - Sunday, June 6

Finally, some alpha. Two of our three proprietary strategies dispensed some benchmark-beating returns last week (through June 4) after a stretch of underperformance. A third matched the benchmark, Global Beta 16 (G.B16), which continually holds the 16-fund opportunity set (shown in the table at the end of this update).

For the year-to-date and one-year trailing periods, however, G.B16 still has the edge by a comfortable margin. Dumb beta, in other words, still looks pretty smart in recent history.

On the rebalancing front, all was quiet last week, again. For a second week in a row, Global Managed Drawdown (G.B16.MDD) maintained a full-out risk-on position for all 16 funds. For Global Managed Volatility (G.B16.MVOL), it’s held three straight weeks of a complete risk-on profile.

Meanwhile, Global Momentum (G.B16.MOM) is on a month-end rebalancing schedule and so its May 31 profile (13 of 16 funds are risk-on), which is to remain intact until at least the end of June.

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

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