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Sector Rotation

Our formula for long-term survival and success is based on quantitative measures of value combined with recognition of fundamental and technical trends. A good dose of contrary opinion is also an important component.

Portfolio Summary

As of Mar 31, 2023
Downloadable Materials
Details
  • Inception:
    May 2016
  • Benchmark:
    S&P 500
Investment Vehicles
  • SMA Platforms:
    • Account Minimum: $50,000
    • Management Fee: 50bps
    • Fees negotiable > $25mm
  • UMA Platforms:
    • Account Minimum: Varies
    • Management Fee: 35bps
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Annualized Performance

As of Nov 30, 2024 (gross of fees)
Period SR ESR Bench
Nov 5.94 7.00 5.87
Q3 3.40 6.80 5.89
2023 20.19 24.79 26.29
YTD 21.66 23.90 28.07
1-YR 27.02 31.51 33.89
3-YR 13.27 13.72 11.44
5-YR 17.76 18.79 15.77
05/31/16 17.03 17.01 15.25

Estimated Return Statistics

As of Nov 30, 2024
Statistic SR ESR Bench
Alpha 0.18 0.17 -
Beta 0.94 1.03 -
Tracking Error 8.76 8.97 -
R-squared 0.92 0.94 -
Std Dev 16.55 18.10 17.41
Sharp Ratio 0.53 0.51 0.40
Max Draw -14.55 -18.41 -23.87
SR = Sector Rotation ESR = Enhanced Sector Rotation Bench = S&P 500

Philosophy

We believe that equity-sector leadership inherently rotates throughout the course of a normal business cycle and long-term outperformance will be attained by concentrating investments among sectors that are exhibiting leadership characteristics, while avoiding those that appear poised to underperform. It is our conviction that our discipline, which combines both value and growth mechanisms based on our nearly 40 years of independent research, will drive superior results over time

Strategy

  • Evaluate equity sector risk/reward potential based on our decades-long industry group ratings and quantitative top-down approach
  • Group rating categories: Value, Growth, Profitability, Technicals, and Very Long Term (VLT) Momentum
  • Rank each sector’s underlying equity industry groups
  • Resulting scores produce respective broad sectors’ standings, rating from #1 (most attractive) to #11 (unattractive)
  • Fully invested
  • No leverage or derivatives
  • Highly disciplined and unemotional

Disclosures

The Leuthold Group was founded in 1981 as an independent investment research firm. In 1987, the firm registered an RIA subsidiary with the Securities and Exchange Com- mission and began to direct investment portfolios based on the financial analysis of their research. Historical performance reflected is for the Leuthold Sector Rotation Strategy, Leuthold Enhanced Sector Rotation Strategy, and Leuthold Factor Tilt Strategy. These are equity styles that are flexible and utilize quantitative analysis in order to seek capital appreciation; they will remain fully invested at all times. The current month’s performance is an estimate.

Returns presented for the Strategies assume reinvestment of all dividends, interest, and realized gains. Gross Returns are presented before deduction of management and custodial fees, but after trading expenses. Past performance should not be considered predictive of future performance. As with any investment, there can be no assurance that the Adviser’s investment objective will be achieved or that an investor will not lose a portion or all of his investment. The Sector Rotation and Enhanced Sector Rotation Strategy composites were established on May 10, 2016. The Factor Tilt Strategy composite was established on December 28, 2017.

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