Default ETF reinvestment strategies

Primer on default ETF reinvestment strategies available within the framework.

Introduction

The following default strategies are created using our ReinvestmentStrategy building block. The strategy will take 100% exposure to the underlying ETF, handling corporate actions as they arise, adjusting the stock and cash positions accordingly.

These default strategies can be imported via the following:

from sigtech.framework.default_strategy_objects.etf_reinvestment_strategies import *

The easiest way to see which parameters are used is to look at the source code of any given default strategy. An example is shown below:

vwo_equity_rs??

Default strategies list

MethodDescription

agg_equity_rs

iShares Core U.S. Aggregate Bond ETF

bil_equity_rs

Bloomberg Barclays 1-3 Month U.S. Treasury Bill Index

bnd_equity_rs

Vanguard Total Bond Market ETF

bndx_equity_rs

Vanguard Total International Bond ETF

dbc_equity_rs

Invesco DB Commodity Index Tracking Fund

eem_equity_rs

iShares MSCI Emerging Markets ETF

emb_equity_rs

iShares JP Morgan USD Emerging Markets Bond ETF

fxe_equity_rs

Invesco CurrencyShares Euro Currency Trust

qai_equity_rs

IndexIG ETF Trust - IQ Hedge Multi-Strategy Tracker ETF

gld_equity_rs

SPDR Gold Shares

hyg_equity_rs

iShares iBoxx High Yield Corporate Bond ETF

iefa_equity_rs

iShares Core MSCI EAFE ETF

iwm_equity_rs

iShares Russell 2000 ETF

lqd_equity_rs

iShares iBoxx $ Investment Grade Corporate Bond ETF

mna_equity_rs

IQ Merger Arbitrage ETF

sdy_equity_rs

SPDR S&P Dividend ETF

slv_equity_rs

iShares Silver Trust

spy_equity_rs

SPDR S&P 500 ETF Trust

tip_equity_rs

iShares TIPS Bond ETF

uso_equity_rs

United States Oil fund LP

vnq_equity_rs

Vanguard Real Estate ETF

vwo_equity_rs

Vanguard FTSE Emerging Markets ETF

vxx_equity_rs

iPath Series B S&P 500 VIX Short-Term Futures ETN

xlc_equity_rs

Communication Services Select Sector SPDR Fund

xle_equity_rs

Energy Select Sector SPDR Fund

xlb_equity_rs

Materials Select Sector SPDR Fund

xlf_equity_rs

Financial Select Sector SPDR Fund

xli_equity_rs

Industrial Select Sector SPDR Fund

xlk_equity_rs

Technology Select Sector SPDR Fund

xlp_equity_rs

Consumer Staples Select Sector SPDR Fund

xlre_equity_rs

Real Estate Select Sector SPDR Fund

xlu_equity_rs

Utilities Select Sector SPDR Fund

xlv_equity_rs

Health Care Select Sector SPDR Fund

xly_equity_rs

Consumer Discretionary Select Sector SPDR Fund

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