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Prices to Nov 3, 2026 · paper tracking starts Nov 4, 2026.

Strategy Lab · Core

Sector momentum rotation

Share
Based on Jegadeesh, Titman, Moskowitz & Grinblatt, 1993; 1999
CoreRisk onHypotheticalNext rebalance Dec 1, 2026
Put to the committee
IQ

At the Nov 3, 2026 close Sector momentum rotation is risk on and holds XLK 34%, XLV 33%, XLE 33%. Hypothetical back-test since 1999: +7.3% a year against SPY’s +8.2%, deepest fall −49.9%.

IQ · Nov 3, 2026
Scorecard window, Jul 9, 1999 to Nov 3, 2026
Paper recordNot startedStarts Nov 4, 2026
Back-test, a year+7.3%vs SPY +8.2%
Max drawdown−49.9%vs SPY −54.6%
Sharpe0.39vs SPY 0.43
Turnover356%a year
Funds3held now

Growth of $10,000

Jul 1999 to Nov 3, 2026 · after costs
Nov 3, 2026Back-testStrategy$70,668+606.7%SPY$87,960+779.6%
StrategySPYBack-testPaper record

Drawdown

Fall from the last high
Strategy worst −49.9%SPY worst −54.6%

Rolling 12-month return

+8.2%+13.6%

Rolling 12-month Sharpe

0.570.98

Holdings now

Nov 3, 2026 close
XLKState Street Technology Select Sector SPDR ETF33.8%XLVState Street Health Care Select Sector SPDR ETF33.2%XLEState Street Energy Select Sector SPDR ETF33.0%

Signals

Each month hold the three of nine US sectors that gained most over six months.
3 in · 6 out
Nearest to flipping
FundGainRankDistance to flipState
XLF+10.9%31.6 ptsIn
XLK+9.3%41.6 ptsOut
XLP+7.1%53.8 ptsOut
XLE+14.8%25.5 ptsIn
XLB+3.3%67.7 ptsOut
FundGainRankDistance to flipState
XLV+27.8%118.5 ptsIn
XLE+14.8%25.5 ptsIn
XLF+10.9%31.6 ptsIn
XLK+9.3%41.6 ptsOut
XLP+7.1%53.8 ptsOut
XLB+3.3%67.7 ptsOut
XLI−0.4%711.4 ptsOut
XLY−0.7%811.6 ptsOut
XLU−5.4%916.4 ptsOut
Each bar shows how far a fund is from flipping. Nov 3, 2026 close.

Trade blotter

Points (pts) are percentage points.

DateActionFundPriceWeightReasonRecord
Oct 30, 2026OutXLFat close0.0%Rule dropped it. Next close, after costs.Back-test
Oct 30, 2026InXLEat close33.3%Rule added it. Next close, after costs.Back-test
Sep 30, 2026InXLVat close33.3%Rule added it. Next close, after costs.Back-test
Sep 30, 2026OutXLEat close0.0%Rule dropped it. Next close, after costs.Back-test
Aug 31, 2026OutXLIat close0.0%Rule dropped it. Next close, after costs.Back-test
Aug 31, 2026InXLFat close33.3%Rule added it. Next close, after costs.Back-test
Jun 30, 2026InXLIat close33.3%Rule added it. Next close, after costs.Back-test
Jun 30, 2026OutXLBat close0.0%Rule dropped it. Next close, after costs.Back-test
May 29, 2026InXLKat close33.3%Rule added it. Next close, after costs.Back-test
May 29, 2026OutXLIat close0.0%Rule dropped it. Next close, after costs.Back-test
Apr 30, 2026OutXLUat close0.0%Rule dropped it. Next close, after costs.Back-test
Apr 30, 2026InXLIat close33.3%Rule added it. Next close, after costs.Back-test
Mar 31, 2026OutXLVat close0.0%Rule dropped it. Next close, after costs.Back-test
Mar 31, 2026InXLUat close33.3%Rule added it. Next close, after costs.Back-test
Jan 30, 2026OutXLYat close0.0%Rule dropped it. Next close, after costs.Back-test
Jan 30, 2026OutXLKat close0.0%Rule dropped it. Next close, after costs.Back-test
Jan 30, 2026InXLEat close33.3%Rule added it. Next close, after costs.Back-test
Jan 30, 2026InXLBat close33.3%Rule added it. Next close, after costs.Back-test
Dec 31, 2025InXLYat close33.3%Rule added it. Next close, after costs.Back-test
Dec 31, 2025OutXLUat close0.0%Rule dropped it. Next close, after costs.Back-test
Nov 28, 2025OutXLYat close0.0%Rule dropped it. Next close, after costs.Back-test
Nov 28, 2025InXLVat close33.3%Rule added it. Next close, after costs.Back-test
Nov 28, 2025InXLUat close33.3%Rule added it. Next close, after costs.Back-test
Nov 28, 2025OutXLIat close0.0%Rule dropped it. Next close, after costs.Back-test
No paper trades yet: the first night is Nov 4, 2026. Back-test changes below, after costs.

Monthly returns

% · Last 12 months, the latest to Nov 3
Dec
2025		Jan
2026		Feb
2026		Mar
2026		Apr
2026		May
2026		Jun
2026		Jul
2026		Aug
2026		Sep
2026		Oct
2026		Nov
2026
−1.21.18.2−1.30.7−2.3−2.70.83.7−1.93.6−0.2
JanFebMarAprMayJunJulAugSepOctNovDecYearSPY
2026*1.18.2−1.30.7−2.3−2.70.83.7−1.93.6−0.29.611.5
20253.9−1.9−4.6−5.13.20.62.9−0.44.52.5−2.4−1.21.515.9
20241.64.13.6−4.54.0−2.00.91.91.4−2.16.6−4.610.626.8
20234.2−4.2−2.9−0.4−1.29.42.6−1.7−3.7−3.87.75.110.426.2
2022−5.2−0.46.2−3.25.7−8.06.1−0.2−9.411.94.6−2.63.2−18.2
2021−2.73.26.13.64.5−1.7−2.61.4−5.06.9−0.82.115.028.7
2020−0.5−7.8−10.99.56.62.56.18.0−3.1−2.811.32.520.518.0
20194.52.32.42.9−8.16.61.7−0.61.80.82.04.021.332.8
20185.9−2.3−3.40.74.11.31.81.51.1−8.03.2−7.1−2.4−5.4
20172.02.9−0.31.00.8−2.32.22.5−0.32.61.81.515.221.7
20160.10.56.9−3.10.74.1−1.11.10.0−3.53.40.79.912.0
2015−2.31.0−1.6−0.62.4−1.23.5−7.3−3.06.0−0.4−0.7−4.7−0.2
2014−4.94.5−0.10.11.13.9−3.73.4−3.22.13.2−1.54.415.6
20136.60.44.11.63.2−0.55.9−3.83.84.63.92.436.933.9
20120.31.43.2−0.7−7.03.40.50.03.00.1−0.71.74.814.1
20112.24.01.02.0−3.2−1.8−1.0−3.8−2.64.71.02.04.21.9
2010−4.85.56.62.1−8.4−7.87.6−5.17.83.6−1.27.011.415.1
2009−7.1−11.44.13.43.4−0.210.25.53.7−4.64.53.413.530.8
2008−8.4−0.7−0.15.15.1−4.9−8.7−0.7−10.2−13.6−3.11.6−33.9−39.4
20071.4−1.01.63.64.7−1.3−0.30.25.22.2−5.01.813.45.9
20066.7−3.23.43.4−3.91.0−2.02.0−2.12.81.11.110.115.8
20050.96.3−0.9−3.11.44.13.92.23.3−5.83.61.418.04.8
20040.30.3−1.6−2.4−0.72.5−1.60.24.40.36.30.38.312.3
2003−1.50.20.73.97.20.3−0.74.4−3.45.51.76.327.027.6
20021.72.62.0−2.52.0−4.0−9.2−0.4−10.27.35.9−8.2−13.9−23.5
2001−4.4−1.3−3.86.22.3−1.80.7−4.7−9.6−2.97.4−0.2−12.5−10.4
2000−7.0−0.510.6−4.10.0−0.60.411.20.34.2−0.63.817.6−9.7
1999−1.6−1.0−1.60.51.411.48.87.0

Scorecard

vs SPY · back-test Jul 9, 1999 to Nov 3, 2026 · after costs

+7.3% a year vs SPY +8.2%.Max drawdown −49.9% vs −54.6%.
Return
MeasureStrategySPYEdge
Total return+590%+764%SPY
Annualised+7.3%+8.2%SPY
Risk
MeasureStrategySPYEdge
Volatility17.5%17.7%Tie
Max drawdown−49.9%−54.6%Strategy (slight)
Upside capture80.7%100.0%SPY
Downside capture90.7%100.0%Strategy (slight)
Beta0.851.00Lower
Risk-adjusted
MeasureStrategySPYEdge
Sharpe ratio0.390.43SPY
Sortino ratio0.540.61SPY
Calmar ratio0.150.15SPY (slight)
Alpha, a year+0.3%n/aNot significant
Costs and taxes
MeasureStrategySPYEdge
Turnover, a year356%n/a
Cost drag, a year−0.15%n/a
Tax drag estimaten/an/a

Ratios use the 13-week Treasury bill rate, 1.8% a year, from the Treasury’s daily rates. Tax is not measured. Method

The Skeptic's take

0 daysof paper record. The rest is a back-test.
t = 0.18Alpha of +0.3% a year is not significant, on back-test data.
356%turnover a year. Costs take 0.2 points.
MethodSource, rules, funds and limitsOpen ↓
SourceJegadeesh, N. and Titman, S.; Moskowitz, T. J. and Grinblatt, M. (1993; 1999). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency; Do Industries Explain Momentum?. Journal of Finance 48(1), 65-91; Journal of Finance 54(4), 1249-1290. ↗
VersionRules v1 · sha ba68a516 · data to Nov 3, 2026How we test strategies
Exact rules
  1. Each month hold the three of nine US sectors that gained most over six months.
  2. A rule reads the close of the last trading day of the month and trades at the next close.
  3. The universe is 9 funds; the benchmark is SPDR S&P 500 ETF Trust (SPY).
  4. It is checked at each month end.
What we cannot measure
  • Communications and Real estate sector funds (XLC, XLRE) are left out because their histories start in 2018 and 2015: a window every fund covers.
  • Taxes on each rotation.
Fund list · 9 funds
XLBXLEXLFXLIXLKXLPXLUXLVXLY
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ETFIQ Strategy Lab, Sector momentum rotation, data as of Nov 3, 2026. https://etfiq.com/models/strategies/sector-momentum/

Computed by ETFIQ from Tiingo daily prices. Data sourced by Tiingo.

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