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Market Rotation

The market rotation model is a tactical asset allocation system that uses the well-documented momentum effect. We have several variations of this model. One, the Major Market Rotation System, ranks eight major markets, while the Minor Market Rotation System ranks twenty-three. The last variation, iShares / Fidelity ETF Market Rotation ranks several markets that correspond to ETFs that can be traded for free through Fidelity Investments.

Major Market Rotation

Market/Sector ETF ETF Ticker Rank Sum 13 Wk 26 Wk 52 Wk
Large Cap Stocks iShares Core S&P 500 ETF IVV 1 23.4 -1 7.7 16.7
Small Cap Stocks iShares Russell 2000 ETF IWM 2 18.5 -4.2 3.2 19.5
International Stocks iShares MSCI EAFE ETF EFA 3 15.8 -0.8 3.7 12.9
Real Estate iShares Cohen & Steers Realty Majors ETF ICF 4 13 8.3 6.3 -1.6
Long Term Treasuries iShares 20+ Year Treasury Bond ETF TLT 5 7.3 6.9 6.7 -6.3
Commodities PowerShares DB Commodity Index Fund DBC 6 5.6 5.7 0.5 -0.6
Emerging Markets Vanguard FTSE Emerging Markets ETF VWO 7 3.3 3.9 -1.2 0.5
Short Term Treasuries iShares 1-3 Year Treasury Bond ETF SHY 8 0.9 0.2 0.3 0.4
Gold iShares Gold Trust IAU 9 -2.5 5.6 3.7 -11.7

As of: April 12, 2014


Minor Market Rotation

Market/Sector ETF ETF Ticker Rank Sum 13 Wk 26 Wk 52 Wk
Middle East Market Vectors Gulf States Index ETF MES 1 93.2 17.1 30.2 45.9
Agriculture PowerShares DB Agriculture Fund DBA 2 39.4 17.8 11.6 10.1
Europe Vanguard FTSE Europe ETF VGK 3 29.9 0.9 7.9 21.1
Large Cap U.S. Stocks iShares Core S&P 500 ETF IVV 4 23.4 -1 7.7 16.7
International Small Cap iShares MSCI EAFE Small Cap ETF SCZ 5 22.3 -1.3 5.6 18
Small Cap U.S. Stocks iShares Russell 2000 ETF IWM 6 18.5 -4.2 3.2 19.5
Canada iShares MSCI Canada ETF EWC 7 17.2 2.9 4.9 9.4
Africa Market Vectors Africa Index ETF AFK 8 16 2.8 4.8 8.4
Energy PowerShares DB Energy Fund DBE 9 14.3 5.7 2.2 6.4
High Yield Bonds SPDR Barclays High Yield Bond ETF JNK 10 13.3 2.1 5.4 5.7
Real Estate iShares Cohen & Steers Realty Majors ETF ICF 11 13 8.3 6.3 -1.6
Australia iShares MSCI Australia ETF EWA 12 12.9 8 4 0.9
International Treasury Bonds SPDR Barclays International Treasury Bond ETF BWX 13 10.9 4.1 3.5 3.4
Asia iShares Asia 50 ETF AIA 14 9.4 2.8 -0.9 7.5
Emerging Markets Small Cap SPDR S&P Emerging Markets Small Cap ETF EWX 15 8.1 4.1 1.5 2.5
Long Term Treasuries iShares 20+ Year Treasury Bond ETF TLT 16 7.3 6.9 6.7 -6.3
Emerging Market Debt iShares JPMorgan USD Emerging Markets Bond ETF EMB 17 6.2 4.4 4.6 -2.8
Short Term Corporate Bonds iShares 1-3 Year Credit Bond ETF CSJ 18 2.2 0.3 0.8 1.1
Short Term Treasuries iShares 1-3 Year Treasury Bond ETF SHY 19 0.9 0.2 0.3 0.4
Latin America iShares Latin America 40 ETF ILF 20 -5.4 6.8 -2.3 -9.8
Precious Metals PowerShares DB Precious Metals Fund DBP 21 -10 4.2 1.2 -15.4
Base Metals PowerShares DB Base Metals Fund DBB 22 -10.9 -2.4 -3.1 -5.4
Japan Small Cap SPDR Russell/Nomura Small Cap Japan ETF JSC 23 -17.2 -8.8 -7.4 -0.9
Japan iShares MSCI Japan ETF EWJ 24 -23.3 -10.6 -8.9 -3.8

As of: April 12, 2014


iShares / Fidelity Market Rotation

Market/Sector ETF ETF Ticker Rank Sum 13 Wk 26 Wk 52 Wk
Large Cap iShares Core S&P 500 ETF IVV 1 23.4 -1 7.7 16.7
International Small Cap iShares MSCI EAFE Small Cap ETF SCZ 2 22.3 -1.3 5.6 18
Small Cap iShares Russell 2000 ETF IWM 3 18.5 -4.2 3.2 19.5
International Stocks iShares MSCI ACWI ETF ACWI 4 18 -0.3 5 13.2
Investment Grade Corporate Bonds iShares iBoxx $ Investment Grade Corporate Bond ETF LQD 5 9.4 3.2 5.6 0.6
Emerging Market Debt iShares JPMorgan USD Emerging Markets Bond ETF EMB 6 6.2 4.4 4.6 -2.8
Emerging Markets iShares MSCI Emerging Markets ETF EEM 7 4.5 3.9 -1.5 2.1
Broad Bond iShares Core Total U.S. Bond Market ETF AGG 8 3.9 1.8 2.4 -0.3
Treasury Inflation Protected Securities iShares TIPS Bond ETF TIP 9 -4 1.4 1 -6.4

As of: April 12, 2014