Global Sector strategy volatility

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Global Sector strategy volatility2018-07-28T12:59:46+00:00
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  • Marvin Liebe
    Participant
    Post count: 2

    Has there been a change to Global Sector Rotation strategy?

    The description says:

    “The “low volatility” sector rotation strategy has only half of the volatility of normal global market ETFs like SPY (S&P 500) or FEZ (Euro Stoxx 50). This strategy has only a slightly higher volatility than our Bond Rotation Strategy BRS and is a good choice for cautious investors. Another advantage of this strategy is that it invests normally in very liquid ETFs like for example IXJ (Global Healthcare Sector).”

    But risk shows higher than all other solutions in the Portfolio Builder. 31% Vol and a 37% drawdown.

  • Vangelis
    Moderator
    Post count: 157

    We have updated the strategy so that it chooses between a low volatility and a aggressive sub-strategy. We are in the process of updating our description and introducing a version log to keep track of changes You can see how a strategy works by downloading a trial version of QuantTrader which includes all our strategies.

    • Marvin Liebe
      Participant
      Post count: 2

      Are you any closer to resolving the issue with Global Sector Low Volatility strategy?

      It is confusing to me that the description states it is only slightly higher vol than the Bond Rotation strategy.
      Take a look at your page:

      On the same page as that text, you have the risk score shown as HIGH, in fact it is shown as your riskiest portfolio. Perhaps it is the riskiest portfolio strategy, but if so, why the text comments that it is in the same category of risk as the Bond Rotation strategy?

      I don’t mean to be critical but you are contradicting yourself and I am left not knowing whether or not to leave my allocation to that strategy.

      I appreciate your thoughts.

      Thank you.

    • Vangelis
      Moderator
      Post count: 157

      The risk score is your best guide so avoid the strategy if you don’t like risk. We have updated our GSR strategy so it It also uses an aggressive sub-strategy as well and allocates dynamically between the two. The text is outdated and we are updating the strategy description.

      If you want to better understand how the strategy works we do offer our software for free with your current subscription. With QuantTrader you can actually see exactly how the strategy work, what are the settings, the sub-strategies as well as the risk (volatility)

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