ETF rotation research
I designed a frozen-spec, one-shot out-of-sample validation of U.S. ETF rotation signals.
The question
Does an ETF rotation strategy hold up out of sample against buy-and-hold and randomized portfolios?
The study
The research universe covers 11 sector SPDR ETFs and 31 thematic ETFs, using data from January 2010 through June 2026.
What I measured
I benchmarked against equal-weight buy-and-hold, SPY/QQQ, and 1,000 randomized rotation portfolios. Evaluation measures include Information Ratio, rolling hit rate, and rank information coefficient.
Research design only; performance results are not included here.