Factor Etf Rotation

Rotate between factor ETFs (momentum, quality, value, low vol) based on trend

Factor ETF Rotation 3Y

Total Return

-0.5%

Sharpe Ratio

-0.25

Max Drawdown

-27.4%

Win Rate

49.5%

Alpha

-8.8%

Comp. Score *

0.06

Risk Parameters

Max Allocation0.0%

Stop Loss25.0%

Take Profit5.0%

Max DD Tolerance27.4%

Rebalanceweekly

Execution Guidance

Order TypeLimit

Entry Rule0.5% below current price for buys

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks to average in

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
SPY	BUY	17%	17.9% below entry	3.6% above entry	0.0%	TV YH
MTUM	BUY	22%	23.1% below entry	4.6% above entry	0.0%	TV YH
IWM	BUY	22%	23.3% below entry	4.7% above entry	0.0%	TV YH

▶ For Passive Investors (Buy & Hold)

Marginal long-term returns. Treat as tactical, not core. Small allocation (<2%) if any.

Avg 5Y Return

41.9%

Avg 5Y Sharpe

0.27

Avg 5Y Max DD

-28.6%

10Y Return (2015-2024)

82.1%

10Y Sharpe

0.21

10Y Max DD

-30.8%

HODL Composite

0.23

Windows Tested

Consistency

79%