Fixed Income Rotation

Investment Summary
Fixed Income Rotation generates a stable, low-risk average annual return of 12% by investing in different Bond Funds represented by Barclays Capital U.S. Credit Bonds, Barclays Capital U.S. Corporate High Yield Bonds, Barclays Capital U.S. Mortgage Backed Securities, and 90 day U.S. Treasury bills.

AssetMacro offers 300+ Investment Strategies with higher returns, lower risk and losses than the Dual Momentum Strategy.

Investment Performance (Good Investment Selection Guide)
Investment Return (?): 12.0% Volatility (?): 5.8% Sharpe Ratio: 1.43 Maximum Drawdown: -5.7%

Investment’s Fundamental Concept:

The Fixed Income Rotation strategy switches monthly between the strongest one of the following indexes: Barclays Capital U.S. Credit Bonds, Barclays Capital U.S. Corporate High Yield Bonds, Barclays Capital U.S. Mortgage Backed Securities, and 90 day U.S. Treasury bills.

This methodology is performed on monthly basis and the portfolio is re balanced monthly.

The reason for choosing credit bonds instead of U.S. Treasury bonds for the core of this strategy is based on portfolio theory principles. There is a risk premium associated with credit bonds that is absent from U.S. Treasury obligations. Since an indexed credit bond portfolio holds hundreds of different bonds, nearly all the idiosyncratic risk associated with credit bonds has been diversified away, leaving a premium that can be captured with little practical credit risk.

Check Below the growth of a Dual Momentum Portfolio from 1998-2015

Bond Rotation

Check monthly returns of the Bond Rotation Portfolio from 177-2015

Bond Rotation Performance

TheBond Rotation Portfolio Strategy generates a good Sharpe Ratio, small Maximum Drawdown and consistent performance.

Other Investment Strategy Characteristics:
Investment Type: Momentum Strategy Investment Risk: 1/5 Very Low Backtest Range: 40-50 years Rebalancing period: Monthly
Investment Strategy Markets:
  • U.S. Credit Bonds
  • U.S. Corporate High Yield Bonds
  • U.S. Mortgage Backed Securities
  • US T-bills