TPA-RRG Relative Rotation Strategy Consistently Outperforms

By Jeffrey Marcus | October 17, 2023

All 4 Relative Rotation Strategies (RSS) have outperformed on a total return basis since their inception in April 2022, but the Top 5 ETF and SH strategy not only shines, but can also be used by long-only investors.

The TPA-RRG RSS  – Top 5 ETFs and a S&P500 Hedge (long SH = short the S&P500) has…

  • outpaced the S&P500 by 10% since inception on April 2022
  • has been above the S&P500 since inception.
  • outperformed the S&P500 75% of the quarters since inception
  • Is almost 4% above the S&P500 return year-to-date

(See the charts below)

The methodology for the Top 5 ETFs and a S&P500 Hedge (SH) is straightforward. Each week the TPA-RRG report scores and ranks 27 sector ETFs (see table below). The strategy buys the top-ranked 5 sector ETFs each week. The RSS also maintains a market hedge by remaining long SH (short the S&P500). The SH position is kept at ½ of the size of the total long position. Each ETF position is held for three weeks. The 3-week holding period means that each week we trade out of the positions from 3 weeks ago and add the current week’s TOP 5.

The long position is twice the short of recognizing that, in general, stocks move up twice as many days as they fall. SH is used for 2 reasons. It is a hedge that uses the most used benchmark – the S&P500. SH also allows long investors to be hedged, while keeping only long positions in their portfolio.

Performance charts are provided below.

Top 5 ETFs and a S&P500 Hedge

, TPA-RRG Relative Rotation Strategy Consistently Outperforms
, TPA-RRG Relative Rotation Strategy Consistently Outperforms
, TPA-RRG Relative Rotation Strategy Consistently Outperforms
, TPA-RRG Relative Rotation Strategy Consistently Outperforms
, TPA-RRG Relative Rotation Strategy Consistently Outperforms

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Jeff Marcus founded Turning Point Analytics (TPA) in 2009 after 25 years on trading desks and 13 years as a head trader to provide strategic and technical research to institutional clients. Turning Point Analytics (TPA) provides a unique strategy that works as an overlay to clients’ good fundamental analysis. After 10 years of serving only large institutions, TPA now offers its research services to mid and small managers, RIA’s, and wealthy sophisticated individuals looking for a way to increase their returns and outperform their peers.

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