QTAA Sector Rotation
Each month, hold the top three of 11 US sectors by average one-, three-, six-, and 12-month return. Sectors without positive momentum move to T-bills; this proxy differs from the published moving-average filter.
- Type: Tactical
- Frequency: monthly
- Asset classes: US Equity Sectors, Cash
- Backtest window: 2018-06-19 to 2026-11-10
- 1Y
- 17.1%
- 3Y
- 67.7%
- CAGR
- 17.4%
- Max DD
- -16.3%
- Sharpe
- 1.20
Methodology
- Average 1-, 3-, 6-, and 12-month total return across the 11 US sector SPDRs each month.
- Hold the top 3 sectors equal-weighted.
- Each held sector must clear the trend filter (positive trailing momentum); otherwise its share holds BIL.
Source: Faber, M. T. (2010). Relative Strength Strategies for Investing. SSRN.
Headline backtest performance as of 2026-11-10.