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1989issue C121-6

Rank rotation in a five-name no-load sleeve

The archive follows a five-name no-load sleeve built from a performance index of one-, three-, six-, and nine-month net-asset-value changes. Rank rotation filled that sleeve from a persistence band and replaced a holding when it left the band, after a separate directional decision.

  • A performance index added percentage net-asset-value changes over one-, three-, six-, and nine-month windows to form one ranking score.
  • A name entered the sleeve only after three consecutive months in the persistence band, the top 20 percent of the monthly ranked list.
  • A holding was sold when it left the top 20 percent of the ranking, and the proceeds were placed in the next eligible top-ranked name not already owned.
  • The ranking-and-replacement rules selected a sleeve after a separate directional decision. They were not a market-timing engine.
Entries in this reading2 entries
Current trackRank rotation86 readingsSeasonal trading130 readings

The archive records a Rank rotation workflow on a small no-load sleeve. The sleeve was filled only with names that had already stayed in a persistence band, and a holding was sold when it left that band.

How the ranking score was formed

A performance index was formed by adding percentage net-asset-value changes over one-, three-, six-, and nine-month windows. Rankings used net asset values adjusted for capital-gain distributions but not for income dividends, so the score tracked portfolio-value change.

How the persistence band worked

The persistence band was the top 20 percent of the monthly ranked list, required for three consecutive months. A name entered the sleeve only after remaining in that band for those three months.

A five-year above-market history filter was tested as an extra gate and was not kept. Only the three-month top-quintile persistence rule remained as the eligibility test.

How the sleeve was filled and replaced

The ranked universe covered 196 load and no-load equity, sector, and balanced funds. Sales-load and high-minimum names were dropped before the five-name sleeve was filled. The opening sleeve was an equal split across five eligible no-load names, with 1,000 currency units in each line.

A holding was sold when it left the top 20 percent of the ranking, and the proceeds were placed in the next eligible top-ranked name not already owned.

What the ranking rules did not do

The ranking-and-replacement rules were not a market-timing engine. They selected a sleeve after a separate directional decision.

What the monthly ranks showed

Monthly ranks from late 1988 through August 1989 show rapid movement through the top quintile. Only two of the original five sleeve members remained for the full eight-month window, which itself contained no large market decline.

No-load sleeve: initial and final account value by fund

Equal $1,000 stakes in five no-load names were rotated when a holding left the top 20 percent of a 196-fund list. Three replacements took the sold proceeds; two originals were still open in August. The printed table closes at $6,820, just over a 36 percent gain in eight months. Dollar amounts are copied from that transaction summary.
Equal $1,000 stakes in five no-load names were rotated when a holding left the top 20 percent of a 196-fund list. Three replacements took the sold proceeds; two originals were still open in August. The printed table closes at $6,820, just over a 36 percent gain in eight months. Dollar amounts are copied from that transaction summary.Five-name no-load mutual-fund sleeve · January–August 1989 · 1989-01-01T00:00:00.000Z to 1989-08-31T00:00:00.000Z

The source fixed $1,000 per name at the end of December 1988, excluded load and high-minimum funds, and ran January–August 1989 through an advance that did not include a substantial decline. The first table row is cropped in the scan; the article identifies that hold-through original as Kaufman. Its printed final (1,370) and August (1,460) figures do not add with the other August marks to the printed 6,820 total.

Educational research material, not investment advice. Historical source context does not establish present-day performance.
2 of 39 in the Rank rotation track
19901-9 pp.Next on Rank rotationCycle-tested five-year fund rank rotationA static five-year winner list is a weak construction input, because names on it typically leave that list within a few months.
All readings on this track · 39 readings
  1. 1987A mechanical rank-rotation sleeve for monthly fund leaders
  2. 1989Rank rotation in a five-name no-load sleeve
  3. 1990Cycle-tested five-year fund rank rotation
  4. 1991Blue-chip rank rotation by relative-strength-index slope
  5. 1992Currency rank rotation and intermarket timing
  6. 1992Rank rotation and relative strength for portfolio construction
  7. 1994MACD crossovers then short-horizon rank rotation
  8. 1994A comparable group-trend ledger from published ranks
  9. 1997Normalized yield rank rotation as a full portfolio procedure
  10. 1997Constructing an investor preference index from two capitalization-weighted series
  11. 1998Constructing anchored momentum from a centered average
  12. 2000Rank rotation, a stop-loss order, and Relative Strength Index in fund switching
  13. 2003A one-fund daily rank is a two-sleeve construction problem
  14. 2004Evaluate rank rotation only where persistence already exists
  15. 2004Sector fund rank rotation with regression and trailing stops
  16. 2006Evaluating equal-weight annual yield-rank rotation
  17. 2007Weekly preferred-symbol reselection for mechanical trend systems
  18. 2011Portfolio capacity and entry pacing for mechanical systems
  19. 2011Rank rotation as a testable ETF construction procedure
  20. 2011The inverse-Fisher stochastic is a forecast layer until the book rules can be disabled
  21. 2012An underwater stretch is a sizing test for rank rotation
  22. 2015Rule-based ETF rotation as one testable procedure
  23. 2015MACD crossover evaluation by trend rank rotation
  24. 2015Persistence and strength as one close-to-close switch
  25. 2015Evaluating rank rotation after a persistence screen
  26. 2016Evaluating an annual valuation rank rotation
  27. 2017A two-step yield and price rank rotation for a five-name sleeve
  28. 2018Smoothed volatility and the missing rank-rotation exit
  29. 2018A five-condition scorecard that ranks stocks and can refuse the trade
  30. 2018Small-cap growth sleeve eligibility with trend and rank rotation
  31. 2018Evaluating rank-rotation momentum across fund wrappers
  32. 2019Evaluating an annual equity-gold momentum rank rotation
  33. 2019Evaluating equity-gold momentum on funds versus indexes
  34. 2020How a signed comparative-strength oscillator is built for rank rotation
  35. 2020Which calendar clock changes a gold-versus-equity rotation test
  36. 2020Four-dimension relative strength as rank rotation
  37. 2020Portfolio construction as a ranked relative-strength problem
  38. 2020Two clocks for a Nasdaq put/call sleeve
  39. 2020Rank, filter, and stop the hedge sleeve as one procedure
By fieldPortfolio construction155 readingsBy year1989126 readings
All 86 readings tagged Rank rotation
Also on Rank rotation5 readings
1987A mechanical rank-rotation sleeve for monthly fund leaders1990Cycle-tested five-year fund rank rotation1997Dow high-yield rank rotation as a testable portfolio procedure2005Overnight and regular session execution in Nasdaq 100 names2015A five-name January book from yield and price ranks