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Macrorisk Analytics
Macrorisk Analytics
Overview

Strategy Name: MRA Economy Focused 1

A rules-based strategy that selects common stocks from AMEX, NASDAQ, NYSE, and NYSE ARCA exchanges that pass the economic screen criteria below using patented analysis using the MacroRisk Analytics platform.


Strategy Criteria

Stocks are selected that meet the following criteria:
  • Suitable for the current economy (economy provides tailwind)
  • Driven by the economy changes rather than company-specific news
  • Not expected to be highly impacted by unforeseen events
  • Lose less value than the S&P 500 Index when the return of the index is negative
  • Whose price relative to its highest price over the past year is similar or higher than the level of the S&P 500 Index relative to its highest level over the past year

This subset of stocks is further reduced involving the following criteria:

  • Relative strength vs the S&P 500 Index
  • Minimum average trading dollar volume

Finally, 25 stocks are selected from this subset that have favorable earnings per share revisions. The weight of the sectors in the portfolio is limited to 2x the S&P 500 sector weight.


Portfolio Changes

The portfolio is rebalanced when it is no longer suitable for the current economy. In this case, all stocks that are either neutral or not suitable for the current economy are sold and the proceeds are reinvested into stocks that pass the aforementioned criteria.

Current Holdings


Previous Holdings



 
About Macrorisk Analytics

Started by academics and professionals, MacroRisk Analytics (MRA) brings patented and proprietary best-of-breed methodology to measure and manage the impact of economic risk on investment products. The MacroRisk team has been researching macroeconomic analysis of common stocks, mutual funds, ETFs, preferred stocks, ADRs, and portfolios comprised of these for decades and has had online delivery of their research since 2001. With www.MacroRisk.com and "The Economy Matters" research reports, we provide specific, actionable, analysis on how companies and portfolios react to changes in the economy (e.g., is an increase in energy prices good or bad for Boeing? What is the sensitivity of Boeing to changes in energy prices, interest rates, unemployment rate, etc.). Our economic screening capabilities select assets with the economy in mind.

Besides numerous patents, the approach has been documented and tested in numerous academic publications and with professional users since its inception.  The MacroRisk research team has twice received the William F. Sharpe ETF/Indexing paper of the year award (2013 and again in 2015).

Please email us if you are interested in this strategy at info@macrorisk.com. When emailing us, please provide your name, company, phone number, and this strategy’s name in your email.

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