As of January 13, we will no longer be publishing the weekly State Street ETF report. Additionally, the SSTREET, SSTARGETSECTOR, and SSWORLD models will no longer be supported on the NDW Research Platform. We will, however, continue to run and support the State Street Fixed Income Model SSFIXED, which follows the same underlying methodology as the SPDR Dorsey Wright Fixed Income Allocation ETF DWFI. 

Over the last few weeks, we reviewed the underlying methodologies for the three SSGA models that will no longer be supported so that users may continue to run them on their own going forward using the matrix tool and/or the Custom Modeler Tool. We first discussed the State Street Sector Rotation Model SSTREET, which can be accessed here, and we reviewed the State Street Targeted Sector Rotation Model SSTARGETSECTOR last week, which can be accessed here. Click here for last week's article covering the State Street Global Rotation Model SSWORLD methodology and rules.

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 Long Term Corporate Bond ETF SPLB deteriorating sufficiently versus its peers in the model universe, warranting its removal from the portfolio. As a result, the SPDR FTSE International Government Inflation-Protected Bond ETF WIP was added as it was the highest-ranked ETF not already owned by the portfolio. Over the last year (1/12/2020 – 1/12/2021), the State Street Fixed Income Model SSFIXED.TR is up 16.05% on a total-return basis, outperforming its benchmark, the iShares US Core Bond ETF AGG.TR’s return of 5.81% (through 1/12/2021).

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

63.02

											XSD
											MDYV
											cwi
											xph
											CWB
											XHS
											MDYG
											xop
											MDY
											xtl
							flrn			XLY	xes
							rwx	XHB		XSW	xme
							bwx	xli		XLB	kce
							ibnd	kie		xle	kbe
							ebnd	bwz	fez	srln	xlf
					xlp		gii	SPY	XBI	gwx	SLYV
					shm		JNK	XLV	DIA	ewx	KRE
				xlu	GLD		XLK	gxc	sdy	DGT	SLYG
				bil	rwo		SPYG	dwx	XAR	XHE	SLY
	psk			rwr	XLC	tfi	wip	xtn	spyv	gmf	XRT
<--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: SSFIXED: SELL - SPLB - SPDR Portfolio Long Term Corporate Bond ETF; BUY - WIP - SPDR FTSE International Government Inflation-Protected Bond ETF
  

* - Model Inception:1/17/2007

* - Model Inception:10/28/2008

* - Model Inception: 07/28/2010

* - Model Inception: 04/27/2011