iQUANT CA & US ETF Style Box Rotation Model
INVESTMENT OBJECTIVE
The iQ ETF Style Box Rotation investment model seeks to provide risk-adjusted returns in excess of the S&P/TSX 60 Index by selecting the four style box ETF strategies trading below their historical mean.
INVESTMENT PROCESS - A “Technical Value” ETF Model
The iQ ETF Style Box Rotation investment model utilizes an elegantly robust and unique strategy that combines style box rotation with monthly technical indicators.
The Model begins with a starting universe of twelve ETF technical strategies (one for each Canadian and United States style box ETF) and selects the four strategies with the lowest 10 month exponential simple moving average. Each market timing strategy is unique to its underlying ETF and can take a long or cash position in any given month. This may create a situation in which cash (or money market) is selected on a monthly basis.
The style boxes from which the Model selects its four strategies are:
US Large Cap Core, Growth & Value
CA Large Cap Core
US Mid Cap Core, Growth & Value
CA Large/Mid Growth & Value
US Small Cap Core, Growth & Value