iQ Monthly Risk On / Risk Off Model

  • 10.69% maximum draw-down

  • 13% downside capture ratio

 

CLICK HERE for a complimentary Model Fact-card.

INVESTMENT OBJECTIVE

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