An Intermarket Approach to Beta Rotation
Author: sedelstein
Creation Date: 4/16/2014 2:45 PM
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sedelstein

#1
f.y.i. Thought this would be interesting to WL users.

Winner of the 2014 Market Technicians Association (MTA) Dow Award

Interesting paper

http://pensionpartners.com/blog/?p=147
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2417974

I tried replicating the results with some of the Rotational strategies found on these forums and some that come with WL strategy downloads. My results didn't match. I'd be curious if anyone here can replicate this. Seems straightforward but ........
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sedelstein

#2
fwiw

CXO advisory http://www.cxoadvisory.com/
Came out with something this morning that offers the opinion the strategy is not robust.

Still, initial read is interesting
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MichaelAGayed

#3
Hi there - first, thanks for reading our paper "An Intermarket Approach to Beta Rotation." The main finding for Charlie Bilello and me in terms of writing the paper really related more to the signaling power of Utilities in terms of volatility timing, and risk-adjusted return potential. For purposes of the competition the paper won the award in, the strategy part was meant to demonstrate consistency of a specific phenomenon across multiple sample periods. We ourselves use Utilities as an input in our models used for managing our mutual funds and separate accounts, but it is not the only one precisely to minimize potential trading switches and slippage/commission, as well as to confirm defensiveness.

Happy to answer further questions if interest.

Best,
Michael A. Gayed, CFA
Co-Portfolio Manager of Pension Partners, LLC
Twitter: @pensionpartners
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sedelstein

#4
Hi Michael

As I said, it was an interesting paper and thought it worthwhile to bring to peoples attention here. This signal seems like it would be good to consider as part of a broader strategy. Thanks for sharing the finding.

Regards

Steve