DWUS: 3rd Quarter 2023 Portfolio Review
The AdvisorShares Dorsey Wright FSM US Core ETF’s (DWUS) looks to rotate among a focused inventory of large-cap US equity representatives, seeking to hold the strongest two areas following each evaluation. The strategy utilizes the Dorsey Wright Fund Score Methodology (FSM), which incorporates multiple trend and relative strength characteristics to arrive at a concise technical score for each fund included in the strategy inventory. This inventory is ranked by fund score on set evaluation points for the strategy, which take place on off-calendar quarters to capture seasonality in the marketplace. They take place at the beginning of February, May, August, and November. The strategy then looks to hold the top two scoring funds at each evaluation. This strategy also has the potential to move defensively in times of intense market turbulence according to technical risk triggers. These triggers compare our technical ranking of the core US equity market and the technical ranking of cash and are evaluated monthly. This strategy is meant to act as a core portfolio allocation toward US equities, giving the broader portfolio the ability to maintain exposure toward the strongest areas of major US equity markets while avoiding the weakest areas.
The domestic equity market saw weakness in the third quarter of the year, leading DWUS to fall -3.13% (market) during the three-month period ending in September. However, this did outperform the benchmark S&P 500 Index, which fell -3.27% over the same timeframe. Despite the near-term outperformance, DWUS continues to trail the S&P 500 on a year-to-date basis, at a 6.74% (market) return compared to an 13.07% return (through 9/30/23).
The strategy saw one trade in the third quarter, which occurred at the beginning of August. That evaluation saw DWUS sell the S&P 500 Equal Weight representative RSP and add the S&P 500 cap-weighted representative SPY. This came after the technical Fund Score for RSP fell sufficiently beneath that of SPY leading the portfolio to push more of its exposure toward the larger cap-weighted representative. Since that trade, SPY has outpaced RSP by roughly 200 basis points, even though both have shown declines. SPY joined the Invesco QQQ Trust (QQQ) as the current two portfolio holdings. This leaves DWUS with an overweight position toward Information Technology at about 37%, followed by Consumer Discretionary and Communication services at roughly 12% each. The portfolio remains fully invested, as the risk-triggers continue to indicate an offensive posture toward the equity allocation.
|Ticker||Security Description||Portfolio Weight %|
|QQQ||INVESCO QQQ TRUST SERIES 1||50.00%|
|SPY||SPDR S&P 500 ETF TRUST||49.58%|
As of 09.30.2023. Cash not included.
As of 09.30.2023.
Nasdaq Dorsey Wright
AdvisorShares Dorsey Wright FSM US Core ETF (DWUS) Portfolio Model Manager