Does anyone know what principles may be the basis for this strategy?
http://logical-invest.com/portfolio-items/maximum-yield-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?
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.
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.
http://postimg.org/image/dip2lhahd/
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.
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