Dynamic Sector Rotation

Abstract

The investment world is characterized by its multifaceted and dynamic nature, which continually presents challenges and opportunities for academic exploration.

This whitepaper presents a rigorous examination of a novel investment approach based on momentum investing using a risk-managed methodology based on volatility.

The academic research of momentum, relative strength, and risk-managed volatility are analyzed and combined to create a dynamic sector rotation mode that is designed to outperform the S&P 500 momentum index while exposing the portfolio to lower drawdowns.

Keywords: sector rotation, momentum, relative strength, volatility, investment research, John Rothe, John Rothe CMT