State Street Fixed Income Model (SSFIXED): One Change

Sell SPAB, Buy IBND

Today we have one change to report in the State Street Fixed Income Model SSFIXED. As a refresher, the State Street Fixed Income Model utilizes a relative strength matrix, using total return data, to determine its holdings and will rebalance upon a change, so each position is equally weighted at 25%. The change this week was triggered due to the matrix rank for the SPDR Portfolio Aggregate Bond ETF SPAB deteriorating sufficiently versus its peers in the model universe, warranting its removal from the portfolio. As a result, the SPDR Bloomberg Barclays International Corporate Bond ETF IBND was added as it was the highest-ranked ETF not already owned by the portfolio. Year-to-date, the State Street Fixed Income Model SSFIXED.TR is up 9.24% on a total-return basis, outperforming its benchmark, the iShares US Core Bond ETF AGG.TR’s return of 7.03% (through 9/1/2020).

Like a radar screen, the Weekly Activity Summary gives you a snap shot view of any technical changes to the State Street universe of ETFs. Included in the summary below are both long term technical changes and intermediate term technical changes.

The distribution curve places each ETF on a bell curve according to their respective degrees of overbought or oversold status using a 10-week distribution. ETFs that are statistically oversold will appear on the left-hand side of the bell curve, while those that have become statistically overbought will appear on the right-hand side of the bell curve. Perhaps the most useful attribute of this feature is that it displays the entire universe on the curve at one time with an "average level" to give us a general picture of whether the State Street ETF universe is generally overbought on a near-term basis, or generally oversold. Our best opportunities are to buy strong market ETFs that have regressed back toward mean conditions based on market weakness, or have become oversold based upon extreme market weakness. 
Weekly Distribution is a short-term gauge that is most helpful in timing entry and exit points, while the longer-term information of trend and relative strength is a more controlling factor in the decision of whether to buy or sell. The Distribution Curve below displays those ETFs with positive RS in uppercase letters and those ETFs with poor RS versus the market in lowercase letters. As well, those ETFs that are on a Point & Figure Buy signal appear in Green letters, while those on Sell signals can appear in Red letters. Box Color indicates the Sector Status Rating. Green = Favored, Yellow = Average, and Red = Unfavored.

Average Level

49.64

							flrn		MDYG
							xtl		srln
							fez		wip
							XHE	spyv	bwz
							rwo	SLY	ibnd
							dwx	GLD	ewx
						xes	kie	MDY	XSD
						xph	sdy	XHS	psk		XSW
						kre	ebnd	JNK	gxc		XHB
						kbe	MDYV	SLYG	DGT	gwx	CWB
						gii	XLV	cwi	XLB	XLC	SPY
				xle	shm	bil	rwx	kce	gmf	DIA	XLY
				tfi	xop	XAR	xlf	bwx	xli	xlp	SPYG
				XBI	xlu	rwr	SLYV	xme	xtn	XRT	XLK
<--100	-100--80	-80--60	-60--40	-40--20	-20-0	0-20	20-40	40-60	60-80	80-100	100->

The DWA Matrix uses a Point & Figure relative strength comparison of each index to one another to identify the strongest and the weakest among the universe used. The ETFs with the most relative strength buy signals (suggesting outperformance) versus the others in the group are listed at the top. These ETFs should be overweighted in the portfolio. Those ETFs with the least amount of relative strength buy signals versus the others in the group are listed at the bottom. These ETFs should be underweighted in the portfolio.

The State Street ETF Model Portfolios are designed to identify major leadership themes within a market, doing so through the use of Point and Figure relative strength tools.  Each of the State Street Models are evaluated weekly and guided by a rules-based investment methodology. The construction of the State Street Sector ETF Portfolio is done through an analysis of the each State Street Sector ETF relative strength chart versus the S&P 500, while the Global Sector Rotation model employs a relative strength matrix ranking of the model's inventory.  In either case, those with strong relative strength make the cut and are eligible to be included in the portfolio, while those that aren't, will sit upon the sideline.  For more information on the portfolio construction and back testing please see the information files on the Models Page. To enter a portfolio amount and see shares to be purchased as well as modify the portfolio to your specifications, click here. (Note: All State Street ETF Models are updated Wednesday mornings by 9:30 am EST)

• State Street Sector ETF Model: No changes this week.
• State Street Global Rotation ETF Model: No changes this week.
• State Street Targeted Sector Rotation ETF Model: No changes this week.
• State Street Fixed Income Model: Sell SPAB, Buy IBND

* - Model Inception:1/17/2007

* - Model Inception:10/28/2008

* - Model Inception: 07/28/2010

* - Model Inception: 04/27/2011