Risk Profile: Aggressive Growth
The Scotia Partners Dynamic Momentum Program (“Scotia Dynamic”) is a long-only, momentum based strategy that utilizes the Rydex-SGI sector funds. The strategy analyzes momentum and volatility to determine which sectors present the best investment opportunities. Scotia Dynamic will only allocate capital to those funds with positive price momentum and will overweight positions that exhibit both strong momentum and low volatility.
How it works
- The model analyzes the prices of the underlying funds to determine each sector’s momentum. Only funds with positive price momentum are eligible for an allocation of the portfolio.
- The model measures the volatility of each fund’s price and adjusts the momentum score of each fund to account for volatility. Funds with strong momentum and low volatility will generally receive a larger allocation to the portfolio.
- The model applies an overbought filter to all positions to manage risk. For any fund that is determined to be overbought, the allocation to that fund will go to a cash position.
- Depending on the model’s proprietary indicators, portfolio position sizing will be different in bull and bear markets. If the model determines that the market trend to be bullish (rising prices), position sizes will not be limited. However, if the model determines that the current market environment is bearish (falling prices), position sizes will be capped at 25%.
Portfolio Diversification and Correlation Analysis: When diversifying your portfolio, it is important to understand how each strategy correlates to your other positions. We believe the key to long-term success is how you weave a number of low-correlating strategies into your portfolio and manage those allocations over time.
Past performance is no guarantee of future returns.
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