The ETF Portfolio Strategist: 30 May 2021

Keeping up with the benchmark remains challenging this year for our trio of proprietary strategies. Global Beta 16 (G.B16), which routinely holds all 16 funds in the targeted global opportunity set, is up 8.7% year to date. That’s modestly ahead of two of the prop portfolios and far ahead of a third. (Note that all three prop strategies and the benchmark use the same 16-fund opportunity set; the only difference is in the risk-on and risk-off signals.) For details on strategy rules and risk metrics in the tables below, please see this summary.

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