(Quick sidenote – If you are a baseball fan that 5 hour tiebreaker winner goes to the playoffs game last night was unreal. Down 2 in the bottom of the 13th inning against the best closer of all time. . .Go Rockies!)
It must be bad 80′s video day. This song popped immediately to mind when considering the various alternative funds that focus on the previous post topic of cross market momentum.
Honestly, if I were managing one of these funds I would fully disclose my method (props to Trader Vic for doing so in constructing the S&P DTI that the Rydex managed futures fund is based on (RYMFX)).
These are the funds I have found that focus on rotation strategies. Did I leave any out? I do not invest in any of them, and most do not have much historical performance:
FUNDX (Newsletter here), (Fact Sheet here)
Rydex International Rotation Fund (RYFHX), (Fact Sheet here)
Rydex Sector Rotation Fund (RYSRX), (Fact Sheet here)
DWA Technical Leaders (PDP), (Fact Sheet here)
DWA Balanced (DWAFX, DWAFX), (Fact Sheet here)
VL Industry Rotation (PYH) (Fact Sheet here)
VL Timeliness (PIV) (Fact Sheet here)
Claymore/Zack’s Country Rotation (CRO) (Fact Sheet here)
Claymore/Zack’s Sector Rotation (XRO) (Fact Sheet here)
BlackStar (study here)
Anchor Research is another site for those looking for rotation and timing research.
PS How long can Kenneth Heebner keep it up? He is up 60% this YTD in his CGMFX fund!
You can add FUNDX to the lot (http://www.fundx.com/). They have been around for at least 20 years publishing a newsletter focused on mutual funds (initially) and ETF sectors/assets rotation.
Regularly tracked by the HFD, they claim an average yearly return of 17.8%/year for their class 3 portfolio: http://www.fundx.com/class.cfm
You and I both know that the Eck is the best closer of all time. You’ve seen his work live enough times to know that. His work in Cabo was legendary.
No comments on Barron’s HF piece? I didn’t read it, figuring you would be all over it. When your Barron’s arrives tomorrow please weigh in.
If FUNDX belongs in the lot, then PFAGX, a fund nobody outside of Muscatine, IA has ever heard of does also.
http://www.pearlfunds.com/pearl_aggressive_performance.htm
Go Ken, and I hope he’s taking his vitamins.
Controversial take on sector rotation by Stangl, Jeffrey , Jacobsen, Ben and Visaltanachoti, Nuttawat, “Sector Rotation over Business-Cycles” (September 14, 2007)
“We find that a sector rotation strategy guided by conventional market wisdom on where sectors provide optimal performance and with 20/20 hindsight timing business-cycles stages would have earned a 2% Jensen’s alpha. This apparent outperformance is a best case scenario that would quickly dissipate without the benefit of hindsight and after a reasonable allowance for transaction fees.”
The fund performances in backtesting results, per their publicity rags, are not out of line with what I’m seeing in my backtesting on purely technical methods. See comment on previous post. What’s interesting is that they all want to sell their other hack stuff, i.e., Zacks does it “bottom up” because their gig is earnings-related, VL uses their “timeliness” in the rotation, etc. Part of building a brand, I guess.
The sector paper has at least two issues. First, SECTORS? Gimmeafrickinbreak. To get component momo right, the components have to be small enough to be really moving relative to the index. Second, CONVENTIONAL WISDOM? Puhlease. Maybe the flaw is the CW that certain sectors have this or that performance in certain phases of the “business cycle” or that all cycles are alike, etc. Another shining example of how many papers have to be gone through in order to glean one or two gems worth knowing …
Does anyonr besides me think that Heebner is due for a very serious blowup? Concentrated plus risk equals a whole range of outcomes. Would Taleb conclude he is just lucky?
M