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Crossinvest (Asia) Pte Ltd
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Wealth management company offering exclusive asset management and financial advisory services to sophisticated individuals, entrepreneurial families and institutions. Established in Singapore in 2005.
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  • Crossinvest Global Sector Momentum Model 0 comments
    May 19, 2014 3:06 AM

    The Crossinvest Global Sector Momentum Model looks at the 10 GICs sectors globally as defined by iShares ETFs.

    It uses a variation of Norman Fosback's Strength Rating to calculate momentum for each of these sectors and ranks them accordingly.

    This momentum is defined as the Average of Daily Price over 100 Days, 1 Day ago / Average of Daily Price over 100 Days, 15 Days ago

    Simplistically, the top 3 sectors get 60% of the weight equally weighted, the next 4 sectors 28% equally weighted, and the last 3 sectors 12% equally weighted.

    iShares sector ETFs are used for each country/market.

    Ticker

    Name

    GICS Sector

    IXC US

    ISHARES GLOBAL ENERGY ETF

    Energy

    IXJ US

    ISHARES GLOBAL HEALTHCARE ET

    Health Care

    KXI US

    ISHARES GLOBAL CONSUMER STAP

    Consumer Staples

    IXN US

    ISHARES GLOBAL TECH ETF

    Technology

    IXG US

    ISHARES GLOBAL FINANCIALS ET

    Financial

    JXI US

    ISHARES GLOBAL UTILITIES ETF

    Utilities

    MXI US

    ISHARES GLOBAL MATERIALS ETF

    Materials

    RXI US

    ISHARES GLOBAL CONSUMER DISC

    Consumer Discretionary

    IXP US

    ISHARES GLOBAL TELECOM ETF

    Communications Sector

    EXI US

    ISHARES GLOBAL INDUSTRIALS E

    Industrials

    The back-test against the Bloomberg World Index (BWORLDIndex) is as follows:

    (click to enlarge)

    (click to enlarge)

    The model is rebalanced weekly on Wednesdays.

    Disclosure: I have no positions in any stocks mentioned, and no plans to initiate any positions within the next 72 hours.

    Additional disclosure: This article is produced purely for informational purposes only and does not constitute advice or recommendations. All ideas and remarks in this article are based on the author’s personal research analysis and experience. As opinions, practices and approaches do vary, please exercise your own judgment regarding the suitability of the content. This article contribution and its information herein is not an advertisement for any such business and the author shall not be held liable for any losses or problems encountered.

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