Nasdaq Dorsey Wright

State Street Focus Fund

Published: December 23, 2020

This content is for informational purposes only. This should not be construed as solicitation. The general public should consult their financial advisor for additional information related to investment decisions.

As of January 13, we will no longer be publishing the weekly State Street ETF report. With that in mind, over the next few weeks, we will be reviewing the methodologies underlying each of the four SSGA strategies so that you can continue running them on your own going forward if you wish. Today, we’ll start with the State Street Sector Rotation Model (SSTREET).

As of January 13, we will no longer be publishing the weekly State Street ETF report. With that in mind, over the next few weeks, we will be reviewing the methodologies underlying each of the four SSGA strategies so that you can continue running them on your own going forward if you wish. Today, we’ll start with the State Street Sector Rotation Model SSTREET.

The SSTREET model uses an “RS versus benchmark” methodology, which simply means we look at each of the members within the investable universe (of which there are 31) versus a benchmark (in this case the S&P 500 Index SPX) in order to determine which are bought into the model and which remain on the sidelines. When a fund’s RS chart versus against SPX (on a 6.5% scale) to a column of X’s, denoting positive Relative Strength for that ETF, it is included in the portfolio. The ETFs are then only removed when there is a reversal into O's versus the benchmark, telling us that it has deteriorated sufficiently relative to the broad market. The inventory for the model is shown below. Currently, 20 (out of 31) ETFs in the inventory are in the model.

Model is evaluated on a weekly basis
Remains 100% invested
# of holdings will vary based on sector leadership. There are 31 sector ETFs in the investable universe.
Each week, we compare all 31 ETFs versus SPX on a 6.5% scale. All sectors with their RS charts in Xs are held in the model while all sectors with RS charts in Os remain on the sidelines.
When there is a model change, the holdings are rebalanced back to equal weight.
As of 12/22, there are 20 holdings weighted at 5% each.
Year-to-date, SSTREET is up 26.77% versus SPX’s gain of 14.13%.

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DISCLOSURE

**Unless otherwise stated, the performance numbers herein are based on price returns and do not include dividends or all transaction costs. Past performance is not indicative of future results. Potential for profits is accompanied by possibility of loss. StateStreet Global Advisors (SsgA) has arranged with Dorsey Wright to provide this specialized ETF page on SsgA sponsored products. The Point & Figure analysis, models and resulting rankings, including any information, data or commentary included herein (the “ETF Data”), are created and provided solely by Dorsey, Wright & Associates. Such ETF Data should not be considered an offer to purchase or sell, or a solicitation of an offer to buy or purchase any security. ETF Data and other materials appearing on this website are believed to be obtained from reliable sources, but neither SsgA nor Dorsey Wright can guarantee and are not responsible for their accuracy, timeliness, completeness, or suitability for use. The examples presented do not take into consideration commissions, tax implications, or other transactions costs. Neither Dorsey, Wright nor SsgA through this ETF page provide investment, legal or tax advice or recommendations regarding any security, fund or market. As the investment professional making the final decision with respect to allocations, including any related suitability, fiduciary or other legal obligation, please remember to adhere to all applicable laws, regulations, and rules including NASD Rules 2090 and 2111. You alone will bear the sole responsibility of evaluating the merits and risks associated with the use of ETF Data before making any decisions based on the ETF Data. You agree not to hold SsgA or Dorsey, Wright liable for any possible claim for damages arising from any decision you make based on the ETF Data. The percentage of the portfolio devoted to any ETF is at the sole discretion of the financial advisor or the customer, and not Dorsey, Wright & Associates or SsgA. If you are not familiar with the Point & Figure methodology, we suggest you read “Point & Figure Charting, 4th Edition” by Thomas J. Dorsey and visit the PnF University at www.dorseywright.com. If you are not familiar with the SsgA products, or Exchange Traded Funds (ETFs), we suggest you visit www.ssgafunds.com.