iQ Monthly Risk On / Risk Off Model
10.69% maximum draw-down
13% downside capture ratio
CLICK HERE for a complimentary Model Fact-card.
The iQUANT.pro Monthly Risk On / Risk Off ETF Model seeks to provide positive returns regardless of the directions of the economy or financial markets by tactically allocating between stock and bond Exchange Traded Funds on a monthly basis.
The Model utilizes the following four non-correlated factors to determine an allocation between stocks (Risk On) and bonds (Risk Off).
Technical (price to moving average)
Macro (movement of the US Dollar)
Valuation (S&P 500 P/E and Earnings Yield)
Seasonal (six months in, six months out)
HOW DOES THE MODEL WORK?
Each of the aforementioned factors account for 25% of the Model’s allocation. If all four of the factors are “risk on”, then 100% of the Model is allocated to stocks. If 2 of the 4 indicators are “risk on”, then 50% of the Model allocates to stocks while the other 50% allocates to bonds.
When the Model allocates to equity Exchange Traded Funds, it utilizes the following (monthly) sector screen:
Start with 11 sector and 7 style box domestic ETFs
Sort by one-month return and remove the worst two.
Sort by short-term max draw-down and select the best 3