The final step in our PIC Investment Management Cycle is the actual trade execution based on the results of our analytics. Our models are continually monitoring for portfolio optimization opportunities.

In any given year, the typical ETF will have 2 trading cycles. We allocate investment assets to sectors, styles, countries and asset classes that are emerging from cyclical troughs. We invest long in assets that are in the bullish phase of their trading cycle and then capture downside performance by short selling when that enter the bearish part of their cyclical phase. Often, we will achieve short positions by being long ETFs that capture downside exposure.

 

 

 

 

 

Our models are designed to generate smoother equity curves, and limit drawdowns (periods of negative performance), thus our Sharpe Ratio is shown to be greater than 2.0 most years based on our proforma modeling*.

Our Rotational Asset Allocation Model is not to be confused with typical momentum trading. PIC helps us refine our timing - so that we are early adopters of up and down trends - by providing early indications of sectors that are emerging from trough phases. In response, we can go long the trend sooner, and reduce, or even invert exposure to be short trends that are breaking down. This reduces volatility, and enhances the risk adjusted return.

The Sharp Ratio is a measure of the units of return to the units of risk taken; which for the typical ETF is between 0.5 and 0.75 - the Sharpe Ratio for the GPS exceeded 2.0 most years in our proforma modeling.*

 

 

 

*See proforma performance analysis for more details.