{"id":40882913,"date":"2021-10-21T18:04:17","date_gmt":"2021-10-21T12:34:17","guid":{"rendered":"https:\/\/stockviz.biz\/index.php\/?p=40882913"},"modified":"2021-10-21T18:04:24","modified_gmt":"2021-10-21T12:34:24","slug":"spdr-sector-etf-anti-momentum-rotation","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2021\/10\/21\/spdr-sector-etf-anti-momentum-rotation\/","title":{"rendered":"SPDR Sector ETF Anti-Momentum Rotation"},"content":{"rendered":"\n

Previously<\/a>, we saw how buying the best performing sector and holding it for a month didn’t quite pan out. What if, we bought the worst performing sector instead? The “Dogs of Sector Spiders,” if you will.<\/p>\n\n\n\n

Rules of Rotation<\/h3>\n\n\n\n

For ETFs: XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU<\/p>\n\n\n\n

  1. Calculate rolling returns over n months. Where n = 1, 3, 6, 12.<\/li>
  2. For the n+1th<\/sup> month, go long the ETF that had the lowest return in Step 1.<\/li><\/ol>\n\n\n\n

    Like before, we split the dataset into Before 2010<\/strong> and After 2011<\/strong>.<\/p>\n\n\n\n

    Pick your Fighter<\/h3>\n\n\n\n

    The Before 2010<\/strong> dataset shows rotation by 3- and 6-month look-back periods to be better than buying-and-holding the S&P 500.<\/p>\n\n\n\n

    \"\"<\/figure>\n\n\n\n
    \"\"<\/figure>\n\n\n\n

    The 6-month look-back rotation strategy \u2013 MOM6 \u2013 would’ve been the strategy to bet on.<\/p>\n\n\n\n

    The SPY Rope-a-Dope<\/h3>\n\n\n\n

    \u201cSure-things\u201d don\u2019t exist in finance.<\/p>\n\n\n\n

    \"\"<\/figure>\n\n\n\n

    MOM6 spent the last decade getting absolutely decimated by the S&P 500.<\/p>\n\n\n\n

    \"\"
    Once again, by simply holding onto the ropes, a passive buy-and-hold S&P 500 investor would\u2019ve come out miles ahead of someone who employed this rotation strategy.<\/figcaption><\/figure>\n","protected":false},"excerpt":{"rendered":"

    Previously, we saw how buying the best performing sector and holding it for a month didn’t quite pan out. What if, we bought the worst performing sector instead? The “Dogs of Sector Spiders,” if you will. Rules of Rotation For ETFs: XLY, XLP, XLE, XLF, XLV, XLI, XLB, XLK, XLU Calculate rolling returns over n … <\/p>\n","protected":false},"author":2,"featured_media":2106273,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471],"tags":[31,3491,2761],"class_list":["post-40882913","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","tag-etf","tag-momentum","tag-quant","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40882913","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=40882913"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/40882913\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2106273"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=40882913"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=40882913"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=40882913"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}