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  • A Global Market Rotation Strategy With An Annual Performance Of 41.4% Since 2003 [View article]
    Hi Frank,
    Thank you for sharing this very interesting result.
    Very good job!

    There are two points I am not sure if I understand correctly.
    Would you kindly help?
    1. In ranking, are you only using last "a" day's volatility as ranking criteria? Or some other performance measure, like information ratio ?
    2. How do you determine it's time to switch from equity to "bond"?

    Aug 9, 2013. 11:23 AM | 1 Like Like |Link to Comment
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