Description
This portfolio employs our wavelet approach to –some– sectors of the economy. The sectors are selected based on the findings of David Varadi. He selects a portfolio of just 4 sectors based on detecting growth and inflation. Here we use all of his four best selections and the next best.
While these can all be active simultaneously, they are weighted based on each individual sectors contribution to performance. As a sector underperforms it will be weighted accordingly.
The portfolio uses State Street Sector ETFs.
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
Assets
| Assets | Percentage |
|---|---|
| IYR | 0 - 5.16% |
| XLB | 0 - 7.75% |
| XLE | 0 - 15.86% |
| XLF | 0 - 7.71% |
| XLI | 0 - 19.80% |
| XLK | 0 - 8.11% |
| XLU | 0 - 13.22% |
| XLV | 0 - 7.56% |
| XLY | 0 - 7.51% |
Metrics
| Metric | Measure |
|---|---|
| Account | Sectors |
| SharpRatio | 3.45 |
| SortinoRatio | 5.87 |
| PercentWins | 73.23% |
| AveWin | 2.33% |
| AveLoss | -1.25% |
| AveWinLoss | 1.86 |
| MedianDD | -1.98% |
| MaxDD | -3.60% |
| Rolling Year Return | 17.79% |
| Annualized Return (CAGR) | 25.50% |
| CalmarRatio | 12.65 |