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Logical invest's maximum yield rotation

Does anyone know what principles may be the basis for this strategy?

The performance is impressive for a weekly rebalance interval.

From what I can tell, it's not a simple momentum rotation strategy, nor a volatility or sharpe adjusted momentum strategy.

Any guesses?

5 responses

I had a good laugh at its name!

Its half inverse volatility etf and half cash/bond as a hedge.
XIV/ZIV etc all look great on paper until you figure out they are really just leveraged positions.

Only works from 2011 onwards due to QE and strong bond bull market.
Wonder how many paid for it?

heh funny name by the way.

I am interested in volatility because many strategies have low correlation with SP500.

What is your guess on how they judge whether to move to cash?

The "whitepaper" is on the page: How-to-build-an-ETF-rotation-strategy-with-more-than-50-percent-annualyzed-returns.pdf

They switch to cash when "Treasuries have a higher than -0.25 correlation to SPY" to indicate financial crisis. That, in itself, is of interest, since it is known everything correlates during major downturns. Could be worth a check in research....

I think people get too excited about the volatility trade.
You can see here that XIV is really just a leveraged SPY position.

If they were clever they would be using contango to determine entry points.
I am not confident about bonds as a hedge in the immediate future.