Description
This portfolio employs our wavelet approach to sectors of the economy.
The portfolio uses State Street Sector ETFs. The list does not change but the weightings to each sector does change each week.
The graph above represents the equity from following the portfolio in the past.
In the Details section below, the Assets tab shows the range that each currently active asset allocation can achieve.
Total position allocation is set to 80.00% of account
Details
Metrics
| Metric | Measure |
|---|---|
| Account | Sectors |
| SharpRatio | 2.58 |
| SortinoRatio | 3.67 |
| PercentWins | 72.18% |
| AveWin | 2.78% |
| AveLoss | -1.71% |
| AveWinLoss | 1.63 |
| MedianDD | -2.73% |
| MaxDD | -8.32% |
| Rolling Year Return | 12.27% |
| Annualized Return (CAGR) | 18.50% |
| CalmarRatio | 6.06 |