Investment Approach 
The OP All Asset Global ETF Rotation strategy implements a systematic, rules-based approach to multi-asset rotation. The strategy seeks to identify ETFs from a curated universe of 62 global ETFs demonstrating favorable momentum, while incorporating a correlation screen against key macro regime factors to enhance diversification and manage concentration risk. 

By dynamically selecting a focused set of ETFs across asset classes, the portfolio aims to capture upside potential during favorable market conditions and maintain resilience during periods of market stress. The universe spans U.S. and international equities (across large-, mid-, and small-cap and growth/value styles), sectors, bonds, commodities, currencies, real estate, and inverse exposures. 

The process blends quantitative rigor with tactical discipline, ensuring consistent and objective evaluation of each ETF while adapting to evolving market trends. Risk management is achieved through asset rotation itself, not through forecasting or identifying market regimes. 

Construction Methodology 
Portfolios are constructed through a systematic multi-step process: 

• Universe Definition – Begin with a curated universe of 62 ETFs spanning equities, bonds, commodities, currencies, real estate, and inverse exposures. 

• Momentum Screening – ETFs are ranked based on intermediate-term price momentum to identify relative-strength leaders. 

• Candidate Selection – Existing holdings that remain among the top-ranked ETFs are retained, while newly qualified high-ranking ETFs are added to form a broader candidate group, helping reduce unnecessary portfolio turnover. 

• Factor Correlation Filter – Candidate ETFs are re-ranked based on their rolling correlation to key macro regime factors, helping reduce factor-driven concentration risk. 

• Portfolio Construction – The portfolio allocates equally across the final selected ETFs. 

Rebalancing – The portfolio is reviewed and rebalanced monthly. It typically holds 10 equally weighted ETFs, though the final portfolio may range from 3 to 10 holdings depending on signal strength, helping maintain alignment with prevailing market trends and risk considerations.