Contents

Strategy Library

Sector Momentum

Introduction

Sector rotation is a popular strategy with which capital is actively reallocated from one sector to another based upon changing market conditions.

Method

This algorithm is an adaptation of asset class momentum. Instead of rotating ETFs in different asset classes, the sector momentum algorithm picks 10 sector ETFs and pick 3 ETFs with the strongest 12-month momentum into the portfolio and weight them equally. The portfolio is rebalanced at the start of each month.

Algorithm

Source

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