{"schema":1,"slug":"income-rotation","name":"Income rotation with a return-of-capital guard","group":"income","risk":"medium","summary":"Each month hold the four highest-yielding of ten income funds whose price has not fallen more than 5% in a year.","hypothetical":true,"label":"Hypothetical. Back-tests and paper records are simulations for education: they are not live results, not investment advice and not a promise of future returns. Daily closes only; paper marks are taken after the close.","asOf":"2026-11-03","builtFrom":{"engine":"pipeline/modelhub/engine.py spec 1.15","scorecard":"pipeline/scorecard.py","rules":"data/strategies/rules.json","rulesVersion":"1","rulesSha":"ba68a51606b72a66","prices":"Tiingo daily closes, ETFIQ total-return index (pipeline/scorecard.load)"},"citation":{"authors":"ETFIQ measures","year":2026,"title":"Income rotation with a return-of-capital guard","venue":"ETFIQ"},"benchmark":{"ticker":"SPY","name":"SPDR S&P 500 ETF Trust","from":"1993-01-29","link":"/funds/spy/"},"universe":[{"ticker":"SCHD","name":"Schwab U.S. Dividend Equity ETF","class":"income-equity","role":"Dividend growth stocks","signal":null,"firstClose":"2011-10-20","launch":"2011-10-20","simulatedUntil":null,"halfSpreadBps":3.0,"spreadSource":"default for income-equity (no spread on file)","premium":null,"link":"/funds/schd/"},{"ticker":"VYM","name":"Vanguard High Dividend Yield ETF","class":"income-equity","role":"High-dividend stocks","signal":null,"firstClose":"2010-01-04","launch":"2010-01-04","simulatedUntil":null,"halfSpreadBps":0.6,"spreadSource":"VYM 30-day median quoted spread 0.012% as of 2026-11-02, half per side (Vanguard (fund page))","premium":{"medianPct":0.0154,"p95Pct":0.0367,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/vym/"},{"ticker":"HDV","name":"iShares Core High Dividend ETF","class":"income-equity","role":"High-dividend stocks","signal":null,"firstClose":"2011-03-31","launch":"2011-03-31","simulatedUntil":null,"halfSpreadBps":3.0,"spreadSource":"default for income-equity (no spread on file)","premium":{"medianPct":0.0204,"p95Pct":0.0645,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/hdv/"},{"ticker":"DVY","name":"iShares Select Dividend ETF","class":"income-equity","role":"Dividend stocks","signal":null,"firstClose":"2003-11-07","launch":"2003-11-07","simulatedUntil":null,"halfSpreadBps":3.0,"spreadSource":"default for income-equity (no spread on file)","premium":{"medianPct":0.0174,"p95Pct":0.0444,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/dvy/"},{"ticker":"QYLD","name":"Global X NASDAQ 100 Covered Call ETF","class":"income-equity","role":"Nasdaq covered calls","signal":null,"firstClose":"2013-12-12","launch":"2013-12-12","simulatedUntil":null,"halfSpreadBps":2.5,"spreadSource":"QYLD 30-day median quoted spread 0.05% as of 2026-11-03, half per side (Global X (fund page))","premium":{"medianPct":0.0,"p95Pct":0.1073,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/qyld/"},{"ticker":"XYLD","name":"Global X S&P 500 Covered Call ETF","class":"income-equity","role":"S&P 500 covered calls","signal":null,"firstClose":"2013-06-24","launch":"2013-06-24","simulatedUntil":null,"halfSpreadBps":1.0,"spreadSource":"XYLD 30-day median quoted spread 0.02% as of 2026-11-03, half per side (Global X (fund page))","premium":{"medianPct":0.0239,"p95Pct":0.0717,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/xyld/"},{"ticker":"SPYD","name":"State Street SPDR Portfolio S&P 500 High Dividend ETF","class":"income-equity","role":"S&P 500 high dividend","signal":null,"firstClose":"2015-10-22","launch":"2015-10-22","simulatedUntil":null,"halfSpreadBps":3.0,"spreadSource":"default for income-equity (no spread on file)","premium":{"medianPct":0.0172,"p95Pct":0.0528,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/spyd/"},{"ticker":"HYG","name":"iShares iBoxx $ High Yield Corporate Bond ETF","class":"bond","role":"High-yield bonds","signal":null,"firstClose":"2007-04-11","launch":"2007-04-11","simulatedUntil":null,"halfSpreadBps":0.5,"spreadSource":"HYG 30-day median quoted spread 0.01% as of 2026-11-02, half per side (iShares (fund page))","premium":{"medianPct":0.1427,"p95Pct":0.3303,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/hyg/"},{"ticker":"PFF","name":"iShares Preferred and Income Securities ETF","class":"bond","role":"Preferred stocks","signal":null,"firstClose":"2007-03-30","launch":"2007-03-30","simulatedUntil":null,"halfSpreadBps":1.5,"spreadSource":"PFF 30-day median quoted spread 0.03% as of 2026-11-02, half per side (iShares (fund page))","premium":{"medianPct":0.0937,"p95Pct":0.2486,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/pff/"},{"ticker":"LQD","name":"iShares iBoxx $ Investment Grade Corporate Bond ETF","class":"bond","role":"Investment-grade bonds","signal":null,"firstClose":"2002-07-26","launch":"2002-07-26","simulatedUntil":null,"halfSpreadBps":0.5,"spreadSource":"LQD 30-day median quoted spread 0.01% as of 2026-11-02, half per side (iShares (fund page))","premium":{"medianPct":0.0407,"p95Pct":0.1101,"note":"a premium or discount is already inside the close price the returns are built from; reported, not charged again"},"link":"/funds/lqd/"}],"rules":{"op":"income_rotation","params":{"topN":4,"yieldMonths":12,"erosionFloor":-0.05,"paperRocShareMax":50.0},"rebalance":{"calendar":"monthly"},"paperTradeTiming":"A rule reads the close of the last trading day of the month and trades at the next close."},"hindsightWarning":null,"cannotMeasure":["Past return-of-capital shares are not on file for most funds. The back-test guards with the price erosion test; the paper record adds each fund's latest filed return-of-capital share when ETFIQ has one (data/tax.json, dated).","Taxes, which for income funds are 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019":{"months":[0.00063,0.01214,0.0171,0.01387,-0.029,0.03365,0.00731,-0.01363,0.02079,0.00365,0.01525,0.01737],"total":0.10211},"2020":{"months":[0.00303,-0.05516,-0.11825,-0.01083,0.0062,-0.00953,0.02038,0.01307,-0.01216,-0.00623,0.06103,0.02461],"total":-0.09119},"2021":{"months":[-0.00384,0.00646,0.02799,0.01524,0.01286,0.01993,0.00029,0.02122,-0.02138,0.03448,-0.01675,0.03768],"total":0.14054},"2022":{"months":[-0.03537,-0.0127,0.01931,-0.03932,0.02738,-0.08211,0.03846,-0.0278,-0.09136,0.05478,0.0591,-0.03256],"total":-0.12808},"2023":{"months":[0.02054,-0.04362,-0.00565,0.00878,-0.0235,0.00813,0.02101,-0.01552,-0.0255,-0.01672,0.04796,0.02715],"total":-0.00078},"2024":{"months":[0.01835,0.01316,0.01348,-0.01988,0.01814,0.00973,0.01207,0.02483,0.02015,-0.0041,0.02231,-0.00058],"total":0.13437},"2025":{"months":[0.01726,-0.00231,-0.03767,-0.00791,0.01119,0.01924,0.01003,0.00954,0.00759,-0.00969,0.00614,0.00908],"total":0.03159},"2026":{"months":[0.01196,0.00093,-0.02206,0.03866,0.01233,0.00268,-0.00165,0.01721,-0.00521,0.01529,-0.00168,null],"total":0.06935}},"firstMonthPartial":"2016-11","lastMonthPartial":"2026-11"},"windows":{"strategy":{"1M":0.01068,"YTD":0.06935,"1Y":0.08946,"3Y":0.09507,"sinceStart":0.36108},"benchmark":{"1M":-0.01987,"YTD":0.11487,"1Y":0.11581,"3Y":0.2163,"sinceStart":3.18897}},"sinceFundsListed":null,"stats":{"total":0.361078,"cagr":0.031295,"volatility":0.112506,"sharpe":0.107401,"maxDrawdown":-0.276566,"maxDrawdownPeak":"2020-02-14","maxDrawdownTrough":"2020-03-23","maxDrawdownRecovered":"2021-12-23","days":2514,"years":10.004107},"history":{"file":"income-rotation-history.json","cutoff":"2025-04-01","before":"weekly points (the last close of each week)","from":"daily points"}},"paper":{"start":null,"configuredStart":"2026-11-04","days":0,"series":{"dates":[],"nav":[]},"windows":{},"label":"Paper record not started: it begins on the first trading day after launch. Hypothetical."},"signals":{"asOf":"2026-11-03","states":[{"ticker":"QYLD","state":"in","value":0.12045,"priceReturn12m":0.017755,"distance":null,"distanceUnit":"none","text":"QYLD: 12.0% yield, price +1.8% over 12 months: held"},{"ticker":"XYLD","state":"in","value":0.103338,"priceReturn12m":0.027799,"distance":null,"distanceUnit":"none","text":"XYLD: 10.3% yield, price +2.8% over 12 months: held"},{"ticker":"HYG","state":"in","value":0.06093,"priceReturn12m":-0.039431,"distance":null,"distanceUnit":"none","text":"HYG: 6.1% yield, price \u22123.9% over 12 months: held"},{"ticker":"PFF","state":"guarded","value":0.057908,"priceReturn12m":-0.088491,"distance":null,"distanceUnit":"none","text":"PFF: 5.8% yield, excluded: price fell 8.8% in a year, past the 5% limit: its payout is eating its own capital"},{"ticker":"LQD","state":"guarded","value":0.04865,"priceReturn12m":-0.061612,"distance":null,"distanceUnit":"none","text":"LQD: 4.9% yield, excluded: price fell 6.2% in a year, past the 5% limit: its payout is eating its own capital"},{"ticker":"SPYD","state":"in","value":0.041963,"priceReturn12m":0.161069,"distance":null,"distanceUnit":"none","text":"SPYD: 4.2% yield, price +16.1% over 12 months: held"},{"ticker":"DVY","state":"out","value":0.033026,"priceReturn12m":0.166859,"distance":null,"distanceUnit":"none","text":"DVY: 3.3% yield, price +16.7% over 12 months: not among the top 4 yields"},{"ticker":"HDV","state":"out","value":0.031263,"priceReturn12m":0.296735,"distance":null,"distanceUnit":"none","text":"HDV: 3.1% yield, price +29.7% over 12 months: not among the top 4 yields"},{"ticker":"SCHD","state":"out","value":0.029651,"priceReturn12m":0.34303,"distance":null,"distanceUnit":"none","text":"SCHD: 3.0% yield, price +34.3% over 12 months: not among the top 4 yields"},{"ticker":"VYM","state":"out","value":0.022512,"priceReturn12m":0.168468,"distance":null,"distanceUnit":"none","text":"VYM: 2.3% yield, price +16.8% over 12 months: not among the top 4 yields"}],"rejected":[],"lastDecision":{"signalDate":"2026-10-30","reasons":{"QYLD":"yield 12.0% over 12 months, ranked 1 of 8 funds passing the guard","XYLD":"yield 10.3% over 12 months, ranked 2 of 8 funds passing the guard","HYG":"yield 6.1% over 12 months, ranked 3 of 8 funds passing the guard","SPYD":"yield 4.2% over 12 months, ranked 4 of 8 funds passing the guard","PFF":"price fell 9.1% in a year, past the 5% limit: its payout is eating its own capital","LQD":"price fell 6.6% in a year, past the 5% limit: its payout is eating its own capital"}},"nextSignalDate":"2026-11-30","nextTradeDate":"2026-12-01","pill":"risk-on"},"holdings":{"asOf":"2026-11-03","rebalanceDate":"2026-11-02","weights":[{"ticker":"QYLD","name":"Global X NASDAQ 100 Covered Call ETF","weight":25.145,"link":"/funds/qyld/"},{"ticker":"XYLD","name":"Global X S&P 500 Covered Call ETF","weight":25.077,"link":"/funds/xyld/"},{"ticker":"HYG","name":"iShares iBoxx $ High Yield Corporate Bond ETF","weight":25.033,"link":"/funds/hyg/"},{"ticker":"SPYD","name":"State Street SPDR Portfolio S&P 500 High Dividend ETF","weight":24.746,"link":"/funds/spyd/"}],"pending":null},"blotter":[],"scorecard":{"kind":"strategy","a":"income-rotation","b":"SPY","window":{"from":"2016-11-11","to":"2026-11-03","firstReturn":"2016-11-18","weeklyReturns":521,"years":9.98,"short":false},"riskFree":{"rate":0.02530365,"perWeek":0.0004866087,"days":2493,"series":"13-week Treasury bill, coupon equivalent, average of daily yields","source":"U.S. Department of the Treasury, Daily Treasury Bill Rates","url":"https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_bill_rates"},"measures":{"total":{"a":0.36530663,"b":3.08425723,"edge":"SPY","lead":"SPY"},"annualised":{"a":0.03156611,"b":0.15078452,"edge":"SPY","lead":"SPY"},"volatility":{"a":0.10881032,"b":0.17053595,"edge":"income-rotation","lead":"income-rotation"},"downsideDeviation":{"a":0.08640288,"b":0.11829466,"edge":"income-rotation","lead":"income-rotation"},"maxDrawdown":{"a":-0.26076238,"b":-0.3181115,"edge":"income-rotation","lead":"income-rotation","aPeak":"2020-02-14","aTrough":"2020-03-20","bPeak":"2020-02-14","bTrough":"2020-03-20"},"excess":{"a":0.01182231,"b":0.12996616,"edge":"SPY","lead":"SPY"},"sharpe":{"a":0.10865066,"b":0.76210421,"edge":"SPY","lead":"SPY"},"sortino":{"a":0.13682776,"b":1.09866465,"edge":"SPY","lead":"SPY"},"calmar":{"a":0.12105315,"b":0.47399898,"edge":"SPY","lead":"SPY"}},"relative":{"income-rotation":{"on":"SPY","beta":0.5564419,"r2":0.76055635,"alpha":-0.06049631,"alphaT":-3.57305562,"alphaLow":-0.09375852,"alphaHigh":-0.02723409,"upsideCapture":0.34998834,"downsideCapture":0.64965582,"treynor":0.02124627,"trackingError":0.09250265,"informationRatio":-1.27719422,"upWeeks":304,"downWeeks":217,"treynorReference":0.12996616,"edges":{"beta":{"edge":"Lower 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The 30-day median spread from site/data/trading-cost.json where ETFIQ has one for the fund, else the default for its class. Fund expense ratios are already inside each fund's total return, so no fee is charged twice. Simulated 2x days charge the fund's expense ratio daily.","halfSpreadBpsByFund":{"DVY":3.0,"HDV":3.0,"HYG":0.5,"LQD":0.5,"PFF":1.5,"QYLD":2.5,"SCHD":3.0,"SPYD":3.0,"VYM":0.6,"XYLD":1.0},"turnoverPerYear":2.295,"costDragPerYear":0.00069,"totalCostPct":0.6854,"grossAnnualised":0.03199,"netAnnualised":0.03129,"taxDragPerYear":null,"taxDragNote":"Not measured: ETFIQ has no lot-level or investor-level tax data. A strategy that trades monthly realises short-term gains."},"skepticInputs":{"paperDays":0,"backtestYears":10.0,"simulatedShare":0.0,"costDragPerYear":0.00069,"turnoverPerYear":2.295,"parameters":4,"largestHoldingPct":25.145,"holdingsCount":4,"survivorshipRisk":false},"moves":{"signalDate":"2026-10-30","effective":"2026-10-31","moves":[]},"secondSource":{"method":"independent rebuild: no code shared with the Model Hub engine or the scorecard (QuantStats is not installed in this environment)","agree":true,"checks":[{"name":"allocations well formed","count":121},{"name":"signal dates are month-end closes","count":121,"bad":0},{"name":"independent rebuild of the net series","days":2515,"worstRelativeGap":4.937592055220819e-07,"tolerance":2e-06,"date":"2016-12-02"},{"name":"total return","published":0.361078,"fromPublishedSeries":0.361078161724256,"independentRebuild":0.36107823727426935,"gap":1.7432816334927992e-07,"tolerance":2e-06},{"name":"deepest fall","published":-0.276566,"fromPublishedSeries":-0.2607625110218121,"independentRebuild":-0.276566118989427,"gap":1.1898942703369997e-07,"tolerance":2e-06},{"name":"rules replayed on the cache","allocations":121,"differing":0},{"name":"benchmark SPY against the cache","differing":0},{"name":"prices: our total return against the vendor's adjusted close","days":50018,"mismatches":0,"tolerance":0.005}],"findings":[],"asOf":"2026-11-03"}}