MRM screened the ETF universe to identify a diverse group of potential international ETFs, representing specific countries as well as country-blended ETFs looking for regional representation, performance and liquidity. As new ETFs are introduced into the market, MRM monitors them for potential inclusion in the universe, as they mature and become more liquid.
Using a complex geometric optimization analysis, ETFs in the universe are quantitatively ranked, based on proprietary weightings of a broad set of return, risk and technical factors.
Portfolio construction emphasizes ETFs that rank very well and weighted as core components and ETFS that rank above average and weighted as secondary components. Through the use of an ACE multiplier, MRM isolates the optimal portfolio, attempting to find enough strong candidates to be fully invested. When unable to find sufficient candidates that meet our criteria, we hold as much as 25% of the portfolio in cash and other defensive vehicles.
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