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The third quarter saw a continuation of 2020’s themes for the STOXX® Factor Indices. Signs of renewed life have appeared, however, with Multi-Factor seeing a 0.8% return.
In this note, we present updated results for the STOXX USA 500 version of our ROOF Market Portfolios. These portfolios include a Risk-On and a Risk-Off variant built directly from the ROOF Scores and constituents of the STOXX USA 500 benchmark portfolio, and rebalanced monthly (at month-end) using the as-of-then sector ROOF scores and exposures (i.e., no look-ahead bias). We will focus on the last 12 months, as this period had several turnarounds in sentiment.
The Sector ROOF, introduced in 2019, defines a risk-on/risk-off “sector personality”, and then looks at sector performance for an additional perspective on investor sentiment.
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