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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
Emerging Markets Vanguard FTSE Emerging Markets ETF VWO 1 41 8.9 12.4 19.8
Large Cap Stocks iShares Core S&P 500 ETF IVV 2 40.4 6.9 9.5 24.1
International Stocks iShares MSCI EAFE ETF EFA 3 36.4 5.3 7.5 23.7
Real Estate iShares Cohen & Steers Realty Majors ETF ICF 4 35.3 5.8 17.7 11.8
Small Cap Stocks iShares Russell 2000 ETF IWM 5 32 5.1 5.1 21.8
Long Term Treasuries iShares 20+ Year Treasury Bond ETF TLT 6 20.3 2.8 10 7.5
Gold iShares Gold Trust IAU 7 15.3 1.2 6.4 7.7
Commodities PowerShares DB Commodity Index Fund DBC 8 9.6 1.3 5.1 3.3
Short Term Treasuries iShares 1-3 Year Treasury Bond ETF SHY 9 0.9 0.1 0.2 0.6

As of: July 5, 2014


Minor Market Rotation

Market/Sector ETF ETF Ticker Rank Sum 13 Wk 26 Wk 52 Wk
Canada iShares MSCI Canada ETF EWC 1 50.7 9.9 13.3 27.6
Middle East Market Vectors Gulf States Index ETF MES 2 44.6 -1.2 14.8 31
Europe Vanguard FTSE Europe ETF VGK 3 44.3 4.6 9 30.7
Large Cap U.S. Stocks iShares Core S&P 500 ETF IVV 4 40.4 6.9 9.5 24.1
Africa Market Vectors Africa Index ETF AFK 5 40 6.3 10.6 23.1
Emerging Markets Small Cap SPDR S&P Emerging Markets Small Cap ETF EWX 6 39.9 7.6 12.6 19.7
International Small Cap iShares MSCI EAFE Small Cap ETF SCZ 7 39.8 3.8 7.2 28.8
Australia iShares MSCI Australia ETF EWA 8 37.9 4.1 10.3 23.5
Real Estate iShares Cohen & Steers Realty Majors ETF ICF 9 35.3 5.8 17.7 11.8
Asia iShares Asia 50 ETF AIA 10 34.8 6.5 7.7 20.6
Small Cap U.S. Stocks iShares Russell 2000 ETF IWM 11 32 5.1 5.1 21.8
Latin America iShares Latin America 40 ETF ILF 12 26.4 4.7 8.9 12.9
Japan Small Cap SPDR Russell/Nomura Small Cap Japan ETF JSC 13 26.1 8.9 6.1 11.1
Emerging Market Debt iShares JPMorgan USD Emerging Markets Bond ETF EMB 14 23.8 3.7 8.1 12
High Yield Bonds SPDR Barclays High Yield Bond ETF JNK 15 20.8 2.3 5.5 13.1
Long Term Treasuries iShares 20+ Year Treasury Bond ETF TLT 16 20.3 2.8 10 7.5
Agriculture PowerShares DB Agriculture Fund DBA 17 20 -3.1 12 11.2
International Treasury Bonds SPDR Barclays International Treasury Bond ETF BWX 18 19.5 2.5 6.3 10.7
Base Metals PowerShares DB Base Metals Fund DBB 19 19.5 8.3 4.1 7.1
Energy PowerShares DB Energy Fund DBE 20 18.7 4.1 7.4 7.2
Japan iShares MSCI Japan ETF EWJ 21 16.7 8.1 2.1 6.6
Precious Metals PowerShares DB Precious Metals Fund DBP 22 15.7 2 6.1 7.6
Short Term Corporate Bonds iShares 1-3 Year Credit Bond ETF CSJ 23 3 0.4 0.6 2
Short Term Treasuries iShares 1-3 Year Treasury Bond ETF SHY 24 0.9 0.1 0.2 0.6

As of: July 5, 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 40.4 6.9 9.5 24.1
International Small Cap iShares MSCI EAFE Small Cap ETF SCZ 2 39.8 3.8 7.2 28.8
International Stocks iShares MSCI ACWI ETF ACWI 3 39.8 6.6 9.2 24
Emerging Markets iShares MSCI Emerging Markets ETF EEM 4 38.9 7.8 10.9 20.3
Small Cap iShares Russell 2000 ETF IWM 5 32 5.1 5.1 21.8
Emerging Market Debt iShares JPMorgan USD Emerging Markets Bond ETF EMB 6 23.8 3.7 8.1 12
Investment Grade Corporate Bonds iShares iBoxx $ Investment Grade Corporate Bond ETF LQD 7 15.6 1.8 4.7 9
Treasury Inflation Protected Securities iShares TIPS Bond ETF TIP 8 12.2 2.9 4.7 4.7
Broad Bond iShares Core Total U.S. Bond Market ETF AGG 9 9.4 1.3 3.1 4.9

As of: July 5, 2014