Strategy: Global Sector Rotation

Home Forums Logical Invest Forum Strategy: Global Sector Rotation

Viewing 5 posts - 1 through 5 (of 5 total)
  • Author
  • #12113

    Support and discussion thread for the strategy.


    The historical data for the Global Sector Rotation – Low Volatility strategy shows that three positions were taken each month after 9/30/2014, and two positions each month before that date. The description of the strategy states that “The strategy invests on a monthly basis in the top two performing global sectors.” Could you explain why the strategy has been taking three positions more recently? Do the historical returns consistently reflect a single strategy?



    the same as the other strategies we changed the underlying algorithm to the “adaptive allocation” in Oct 2014, e.g. the strategies will always allocate to two global sectors AND bonds (TLT) by optimizing the modified sharpe ratio. For details on the algorithm, please refer to the following article: Adaptive Allocation.

    Sorry if this was not sufficiently made clear so far.


    Now that BRS top 1 is the bond hedge for both World top 4 and Global sector it seems to overweight bonds if you are holding these strategies. For example,
    A portfolio consisting of:

    BRS, 10%
    World top 4, 20%
    Global sector rotation, 20%
    Max Yield, 25%
    Nasdaq 100, 25%

    This custom portfolio has a current allocation for december of 32% in JNK. It would be interesting to see how World top 4 and Global sector perform in a backtest without the BRS bond hedge. Instead using up to 50% allocation in a couple of 1X Short etfs and/or just TLT.

    Also notably missing from the asset classes is biotech. Ishares has about 50 sector etfs. I think some of the sectors in the asset class list are more industry specific like KOL, MOO, CUT etc and some are more broad sectors such as the Ishares series which is not necessarily a bad idea to mix. But given the industry specific etf are more volatile they might be treated differently by selecting the top 2 sectors and top 2 industry specific etfs for a total of 4 holdings.

Viewing 5 posts - 1 through 5 (of 5 total)
  • You must be logged in to reply to this topic.