Obsidian SPX Sector Portfolios
The Obsidian SPX Sector ETFs Portfolios are composed of only five ETFs and exploit Obsidian’s proprietary machine learning technology to systematically allocate capital between the:
XLK – Technology Select Sector SPDR Fund
XLV – Health Care Select Sector SPDR Fund
XLY – Consumer Discretionary Select Sector SPDR Fund
XLC – Communication Services Select Sector SPDR Fund and the
XLF – Financial Select SPDR Fund
These are a good proxy for the SPX as together they represent more than 75% of the index and allow for ease of trading.
Further, our unique volatility suppression methodology allow for more risk-averse positioning in challenging markets.
The figures below are for unleveraged positions, no shorting, gross of transactions costs and profit payouts:
Volatility suppression improves both the Sharpe and Sortino Ratios in exchange for overall returns.
Obsidian Portfolios spend less time in negative territory and recover quicker; the Vol↓↓ portfolio never fell under -10% from any local High Water Mark over the last 3.25 years, a period which includes the sell-offs due to the pandemic.
The ‘worst’ rolling annual return is positive for all Obsidian portfolios which means that in any given year they never lost money.
The portfolio is scalbale as each of the ETFs enjoys liquid markets with tight trading spreads.