Sector Rotation
The three strongest SPDR sectors, each with a trend filter.
Holding now
Signal from Aug 2026 close- XLE33%
- XLK33%
- XLV33%
- XLEEnergy33.3%
- XLKTechnology33.3%
- XLVHealth Care33.3%
Trailing returns
Through Sep 25, 2026 · 3Y+ annualised1M
+1.2%
YTD
+20.0%
1Y
+20.5%
3Y
+18.2%
5Y
+14.9%
10Y
+12.9%
Growth of $100
Backtest from Jan 3, 2000 to Sep 25, 2026 (26.6 years)
Growth of $100, rebased to the start of the selected range. Month-end prices, dividends reinvested, no taxes or trading costs.
Risk & return, full backtest
CAGR
+7.2%
Volatility
16.1%
Max drawdown
-33.0%
Sharpe
0.42
Sortino
0.58
Calmar
0.22
Best year
+31.1%
Worst year
-18.7%
Drawdowns
Percent below the prior peak, vs the S&P 500
Calendar-year returns
Faded bars are partial years · 61% of months positive
Strategy Lab
Stress-test the implementation: trade on the signal day's close or later, split the portfolio into tranches that rebalance on different days (reduces timing luck), use managed futures instead of T-bills as the defensive asset, or swap a fund for a same-asset-class alternative.
The idea
Rank the eleven SPDR sector funds by blended 1, 3, 6 and 12-month momentum, hold the top three, and move any pick trading below its 10-month SMA to cash. Newer sectors join the ranking once they have a year of history.
The rules
- 1Universe: the 11 SPDR sector ETFs.
- 2Score = average of 1, 3, 6 and 12-month returns; hold the top 3 equally.
- 3A pick below its 10-month SMA is replaced by T-bills.
Funds used
- XLB Materials
- XLC Communication
- XLE Energy
- XLF Financials
- XLI Industrials
- XLK Technology
- XLP Consumer Staples
- XLRE Real Estate
- XLU Utilities
- XLV Health Care
- XLY Consumer Discretionary
Early history uses proxy funds: SHY.
Recent allocations
Decided at each month-end, held the following month
- Aug 2026
- Jul 2026
- Jun 2026
- May 2026
- Apr 2026
- Mar 2026
- Feb 2026
- Jan 2026
- Dec 2025
- Nov 2025
- Oct 2025
- Sep 2025
More relative momentum
GTAA Aggressive (Top 3 of 13)
Mebane Faber
The three strongest of 13 asset classes, each with a trend filter.
Global Equities Momentum
Gary Antonacci
US or international stocks when stocks beat T-bills; else bonds.
Accelerating Dual Momentum
EngineeredPortfolio
Faster dual momentum on 1, 3 and 6-month returns.