Macro Momentum Micro Value

This is a quasi-passively managed (long-only) ETF using a combination backtests. 1. Individual stocks are selected as follows: a. Sector - Highest Momentum b. Value c. Tradability The individual factors are chosen according to backtested methods and are specific to the sector. The above stated factors might not be suspended, but further may be added if applicable to a sector (e.g. Quality Factors, Downside Protection Factors), to increase CAGR. 2. Balancing Rules: The portfolio is rebalanced a. once the sector momentum switches b. the positions were held > 1 year This method is constructed to obtain high CAGR. This might be achieved by high volatility. The method will use a highly concentrated approach (1/5th equal weight allocation).