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DARIUS DALE: MACRO TEAM
TACTICAL ASSET CLASS ROTATION MODEL
APRIL 1, 2015
HEDGEYE 2
The primary function of TACRM is to provide investors with an unparalleled degree of advanced market color across the liquid global macro investment universe (i.e. asset classes, regions,
countries, style factors and sectors).
TACRM is especially useful in alerting investors to critical breakouts and breakdowns at the individual factor exposure levels and collating those signals in a manner that significantly
enhances one’s ability to identify emerging or existing fundamental themes.
TACRM uses a robust proprietary quantitative methodology to transform a myriad of individual momentum signals at the factor exposure level into amalgamated risk management signals at the primary asset class level. This is especially helpful in quantifying the risk to increasing or
reducing one’s allocation to a particular asset class, at the margin(s).
WHY TACRM?
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Multi-Factor Price, Volume and Volatility: TACRM uses volume-weighted average price (VWAP) data rather than single factor price data to infer the market’s conviction in a directional trend (or lack thereof).
Multi-Duration Short-term (1-3 months), Intermediate-term (3-6 months) and Long-term (6-12 months): TACRM applies a volatility overlay to account for the existence of developing and/or trending fundamental narratives. Specifically, if cross-asset volatility* is rising on a trending basis, TACRM records observations in the smaller of the two sample sizes (across each duration) and, conversely, if cross-asset volatility* is falling on a trending basis, TACRM records observations in the larger of the two sample sizes (across each duration).
Intuitive Z-Scores: For every liquid factor exposure in the world (roughly 200 in aggregate), TACRM computes a standalone Z-Score for each of the three aforementioned observation periods. The baseline assumption is that deviations from the mean in each sample of VWAP data represents the existence of positive or negative momentum. Specifically, a positive value on a specified date indicates that the associated price is n-standard deviations greater than the mean of the sample of observations in its respective trailing n-month period.
Easy To Interpret Standardization: For each date in the model, TACRM computes a simple average of the three aforementioned Z-Scores for each factor exposure. This composite Z-Score is the VAMDMI metric that TACRM analyzes in various manners to produce actionable risk management signals. Moreover, because TACRM’s VAMDMI metric uses a Z-Score methodology to transform VWAP data, it’s signals are agnostic to an individual factor exposure’s historical beta and volatility – thus effectively normalizing the degree to which investors in different asset classes are observing momentum.
HARNESS THE POWER OF A MULTI-FACTOR, MULTI-DURATION VIEW.
OUR VOLATILITY-ADJUSTED MULTI-DURATION MOMENTUM INDICATOR (VAMDMI) METRIC IS THE KEY DIFFERENTIATOR BETWEEN TACRM AND OTHER QUANTITATIVE RISK MANAGEMENT TOOLS. SPECIFICALLY, THIS CALCULATION OF MOMENTUM COMBINES MULTIPLE FACTORS ACROSS MULTIPLE DURATIONS AND DISPLAYS THE OUTPUT IN A MANNER THAT IS BOTH INTUITIVE AND EASY TO INTERPRET.
*BANK OF AMERICA/MERRILL LYNCH GLOBAL FINANCIAL STRESS INDEX
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NEVER AGAIN MAKE AN UNINFORMED RISK MANAGEMENT DECISION.
DATA SOURCE: BLOOMBERG
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FRONT-RUN PHASE TRANSITIONS.
This chart highlights the top-20 and bottom-20 VAMDMI
readings across the universe of [liquid] global macro factor
exposures. This snapshot is helpful to investors in two ways:
First, it consistently identifies
which markets are at/near oversold or overbought territory and likely due for counter-trend
price action and/or a continuation of the trend.
Secondly, the composition of the top and bottom twenty VAMDMI
readings helps to confirm existing trends at the primary asset class level OR helps to
prospectively signal meaningful rotations at the primary asset
class level.
DATA SOURCE: BLOOMBERG
1.82x 1.73x
1.65x 1.61x
1.53x 1.51x
1.41x 1.37x 1.36x 1.32x
1.27x 1.18x 1.17x 1.14x 1.11x 1.11x 1.08x 1.07x 1.05x 1.05x
-0.99x -0.99x -1.01x -1.04x -1.06x -1.06x -1.08x -1.10x
-1.14x -1.15x -1.15x
-1.22x -1.23x -1.26x
-1.35x -1.48x
-1.58x -1.64x
-1.80x -2.28x
-3.0x -2.0x -1.0x 0.0x 1.0x 2.0x 3.0x
(ECNS) iShares MSCI China Small-Cap ETF (Delta From 6MMA: 2.1x) (EIS) iShares MSCI Israel Capped ETF (Delta From 6MMA: 2.4x) (CHIQ) Global X China Consumer ETF (Delta From 6MMA: 2.2x)
(CQQQ) Guggenheim China Technology ETF (Delta From 6MMA: 1.6x) (EDEN) iShares MSCI Denmark Capped ETF (Delta From 6MMA: 1.6x)
(FXI) iShares China Large-Cap ETF (Delta From 6MMA: 0.9x) (CAF) Morgan Stanley China A Share Fund Inc. (Delta From 6MMA: 0.5x)
(CYB) WisdomTree Chinese Yuan Strategy Fund (Delta From 6MMA: 1.4x) (ITB) iShares U.S. Home Construction ETF (Delta From 6MMA: 0.5x)
(XRT) SPDR Retail ETF (Delta From 6MMA: 0.3x) (SHY) iShares 1-3 Year Treasury Bond ETF (Delta From 6MMA: 0.8x)
(FPX) First Trust U.S. IPO Index Fund (Delta From 6MMA: 0.5x) (BNDX) Vangaurd Total International Bond Market ETF (Delta From 6MMA: -0.1x)
(GMF) SPDR S&P Emerging Asia Pacific ETF (Delta From 6MMA: 1x) (AAXJ) iShares MSCI All Country Asia ex Japan ETF (Delta From 6MMA: 1.1x)
(PFF) iShares US Preferred Stock ETF (Delta From 6MMA: 0.7x) (IWN) iShares Russell 2000 Value ETF (Delta From 6MMA: 0.7x)
(IWM) iShares Russell 2000 ETF (Delta From 6MMA: 0.4x) (CHIX) Global X China Financials ETF (Delta From 6MMA: 0.3x)
(IHI) iShares U.S. Medical Devices ETF (Delta From 6MMA: -0.1x) (DBC) DB Commodity Index Tracking Fund (Delta From 6MMA: 0.3x)
(FXE) CurrencyShares Euro Trust (Delta From 6MMA: 0.3x) (BZF) WisdomTree Brazilian Real Fund (Delta From 6MMA: 0.2x)
(GDX) Market Vectors Gold Miners ETF (Delta From 6MMA: -0.5x) (EPU) iShares MSCI All Peru Capped ETF (Delta From 6MMA: 0.1x)
(UDN) Powershares DB US Dollar Index Bearish Fund (Delta From 6MMA: 0.3x) (FXB) CurrencyShares British Pound Sterling Trust (Delta From 6MMA: 0.1x)
(FXS) CurrencyShares Swedish Krone Trust (Delta From 6MMA: 0.3x) (EGPT) Market Vectors Egypt Index ETF (Delta From 6MMA: -0.2x)
(UNG) United States Natural Gas Fund (Delta From 6MMA: -0.2x) (VXX) iPATH S&P 500 VIX Short-Term Futures ETN (Delta From 6MMA: -1x)
(JO) iPath Dow Jones-AIG Coffee Total Return Sub-Index ETN (Delta From 6MMA: -0.4x) (DBA) PowerShares DB Agriculture Fund (Delta From 6MMA: -0.1x)
(FXA) CurrencyShares Australian Dollar Trust (Delta From 6MMA: -0.1x) (NIB) iPath Dow Jones-AIG Cocoa Total Return Sub-Index ETN (Delta From 6MMA: -0.7x)
(CORN) Teucrium Corn Fund (Delta From 6MMA: -1.5x) (SGG) iPath Dow Jones AIG Sugar Total Return Sub-Index ETN (Delta From 6MMA: -0.4x)
(VNM) Market Vectors Vietnam ETF (Delta From 6MMA: -0.7x) (PALL) ETFS Physical Palladium Shares (Delta From 6MMA: -1.4x)
(JJN) iPath Dow Jones-UBS Nickel Total Return Sub-Index ETN (Delta From 6MMA: -1.2x)
Extreme Momentum Monitor (Top and Bottom 20 VAMDMI Readings)
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BEAT THE BENCHMARK.
This chart ranks each of the VAMDMI readings across the 47 sector and style factor exposures
TACRM tracks within the U.S. equity market. This snapshot is helpful to investors in two ways:
First, it consistently identifies
which sectors and style factors are at/near oversold or
overbought territory and likely due for counter-trend price
action and/or a continuation of the trend.
Secondly, the composition of the
top and bottom ten VAMDMI readings helps to confirm
existing fundamental narratives (e.g. “lower gas prices should stimulate consumption activity
and perpetuate faster GDP growth”) OR helps to
prospectively signal meaningful rotations in sector and style
factor leadership.
DATA SOURCE: BLOOMBERG
1.36x 1.32x
1.18x 1.11x
1.08x 1.07x 1.05x
1.01x 0.82x
0.74x 0.72x
0.67x 0.65x 0.65x
0.62x 0.56x
0.53x 0.49x 0.48x
0.46x 0.41x
0.30x 0.28x
0.25x 0.24x
0.21x 0.13x
0.04x -0.04x
-0.06x -0.08x -0.08x
-0.11x -0.11x
-0.15x -0.21x -0.21x
-0.27x -0.32x -0.32x
-0.40x -0.42x
-0.49x -0.53x
-0.66x -0.91x
-1.04x
-1.5x -1.0x -0.5x 0.0x 0.5x 1.0x 1.5x
(ITB) iShares U.S. Home Construction ETF (Delta From 6MMA: 0.5x) (XRT) SPDR Retail ETF (Delta From 6MMA: 0.3x)
(FPX) First Trust U.S. IPO Index Fund (Delta From 6MMA: 0.5x) (PFF) iShares US Preferred Stock ETF (Delta From 6MMA: 0.7x)
(IWN) iShares Russell 2000 Value ETF (Delta From 6MMA: 0.7x) (IWM) iShares Russell 2000 ETF (Delta From 6MMA: 0.4x)
(IHI) iShares U.S. Medical Devices ETF (Delta From 6MMA: -0.1x) (IWO) iShares Russell 2000 Growth ETF (Delta From 6MMA: 0.2x)
(ITA) iShares U.S. Aerospace & Defense ETF (Delta From 6MMA: -0.1x) (IHE) iShares U.S. Pharmaceuticals ETF (Delta From 6MMA: -0.5x)
(XOP) SPDR S&P Oil & Gas Exploration & Production ETF (Delta From 6MMA: 1.5x) (IWP) iShares Russell Mid-Cap Growth ETF (Delta From 6MMA: 0x)
(IWR) iShares Russell Mid-Cap ETF (Delta From 6MMA: 0x) (KIE) SPDR Insurance ETF (Delta From 6MMA: 0.2x)
(KRE) SPDR S&P Regional Banking ETF (Delta From 6MMA: 0.4x) (IAI) iShares U.S. Broker-Dealers ETF (Delta From 6MMA: -0.1x)
(IWS) iShares Russell Mid-Cap Value ETF (Delta From 6MMA: 0x) (XLV) Health Care Select Sector SPDR Fund (Delta From 6MMA: -0.5x)
(IBB) iShares Nasdaq Biotechnology ETF (Delta From 6MMA: -0.8x) (XLY) Consumer Discretionary Select Sector SPDR Fund (Delta From 6MMA: -0.3x)
(IUSG) iShares Russell 3000 Growth ETF (Delta From 6MMA: -0.3x) (VLUE) iShares MSCI USA Value Factor ETF (Delta From 6MMA: -0.1x)
(VNQ) Vanguard REIT ETF (Delta From 6MMA: -0.6x) (IWF) iShares Russell 1000 Growth ETF (Delta From 6MMA: -0.5x)
(USMV) iShares MSCI USA Minimum Volatility ETF (Delta From 6MMA: -0.7x) (MTUM) iShares MSCI USA Momentum Factor ETF (Delta From 6MMA: -0.6x)
(IWV) iShares Russell 3000 ETF (Delta From 6MMA: -0.4x) (IWB) iShares Russell 1000 ETF (Delta From 6MMA: -0.5x)
(QQQ) PowerShares NASDAQ Trust (ETF) (Delta From 6MMA: -0.7x) (XLE) Energy Select Sector SPDR Fund (Delta From 6MMA: 0.8x)
(SPY) SPDR S&P 500 ETF Trust (Delta From 6MMA: -0.6x) (SMH) Market Vectors Semiconductor ETF (Delta From 6MMA: -0.7x)
(XTL) SPDR S&P Telecom ETF (Delta From 6MMA: -0.4x) (IUSV) iShares Russell 3000 Value ETF (Delta From 6MMA: -0.4x)
(DIA) SPDR Dow Jones Industrial Average ETF Trust (Delta From 6MMA: -0.7x) (XLP) Consumer Staples Select Sector SPDR Fund (Delta From 6MMA: -1.1x)
(XLF) Financial Select Sector SPDR Fund (Delta From 6MMA: -0.7x) (IWD) iShares Russell 1000 Value ETF (Delta From 6MMA: -0.5x)
(IEZ) iShares U.S. Oil Equipment & Services ETF (Delta From 6MMA: 0.7x) (XLK) Technology Select Sector SPDR Fund (Delta From 6MMA: -0.8x)
(XLU) Utilities Select Sector SPDR Fund (Delta From 6MMA: -1.1x) (XLI) Industrial Select Sector SPDR Fund (Delta From 6MMA: -0.8x)
(OEF) iShares S&P 100 ETF (Delta From 6MMA: -0.9x) (XLB) Materials Select Sector SPDR Fund (Delta From 6MMA: -0.4x)
(AMLP) Alerian MLP ETF (Delta From 6MMA: 0.3x) (IYT) iShares Transportation Average ETF (Delta From 6MMA: -1.3x)
(GDX) Market Vectors Gold Miners ETF (Delta From 6MMA: -0.5x)
Volatility-Adjusted Multi-Duration Momentum Indicator Reading
HEDGEYE 7
KNOW WHERE TO DIG AND WHY.
DATA SOURCE: BLOOMBERG
This chart shows the relative strength or weakness at both the
primary and secondary asset class levels based on the breadth
of momentum across the constituent markets that
comprise each primary asset class.
This snapshot of momentum dispersion is an effective way
for investors to quickly determine which asset classes offer the best opportunities for
relative value trades.
Trends in this indicator of asset class breadth form the basis
upon which TACRM generates its asset class rotation signals as
detailed on the next two slides.
7%
14%
25%
7%
0% 0% 0% 1%
8%
36% 35%
50%
0%
10%
20%
30%
40%
50%
60%
Fixed Income & Yield Chasing
DM Equities EM Equities Foreign Exchange Commodities Cash*
Percentage of Exposures w/ a VAMDMI Reading ≥ +1x Percentage of Exposures w/ a VAMDMI Reading ≤ -1x
HEDGEYE 8
INVEST WITH THE WIND AT YOUR BACK.
DATA SOURCE: BLOOMBERG
Much like within the equity market, changes in the trend of market
breadth can be a powerful signaling tool for the overall direction of the market. TACRM applies a similar
concept to the process of signaling asset class rotations.
Specifically, TACRM determines a
likely weighting to each of the primary asset classes by calculating
its trending share of cumulative positive market breadth across the
six primary asset classes. For example, a 20% weighting for a
specific asset class would imply that its share of cumulative positive
market breadth has averaged 20% over the past three months.
All told, our Smart Beta Marginal
Asset Allocation metric provides a dynamic estimate for how much
marginal investment capital may be over or under exposed to a
particular asset class. Deviations from the respective trailing six-month
trends in these weightings can be said to represent the presence of
rotation-based capital flows.
Fixed Income & Yield Chasing = 19%
DM Equities = 29%
EM Equities = 17%
Foreign Exchange = 4%
Commodities = 5% Cash* = 26%
-40%
-20%
0%
20%
40%
60%
80%
100%
-40% -20% 0% 20% 40% 60% 80% 100% 120%
y-a
xis:
De
via
tio
n F
rom
6M
MA
x-axis: Deviation From 3MMA
Smart Beta Marginal Asset Allocation Delta
HEDGEYE 9
TRACK HOW YOUR PEERS ARE POSITIONING ON THE MARGIN.
DATA SOURCE: BLOOMBERG
Much like within the equity market, changes in the trend of market
breadth can be a powerful signaling tool for the overall direction of the market. TACRM applies a similar
concept to the process of signaling asset class rotations.
Specifically, TACRM determines a
likely weighting to each of the primary asset classes by calculating
its trending share of cumulative positive market breadth across the
six primary asset classes. For example, a 20% weighting for a
specific asset class would imply that its share of cumulative positive
market breadth has averaged 20% over the past three months.
All told, our Smart Beta Marginal
Asset Allocation metric provides a dynamic estimate for how much
marginal investment capital may be over or under exposed to a
particular asset class. Deviations from the respective trailing six-month
trends in these weightings can be said to represent the presence of
rotation-based capital flows.
Fixed Income & Yield Chasing = 19%
DM Equities = 29%
EM Equities = 17%
Foreign Exchange = 4% Commodities = 5%
Cash* = 26%
-10%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
-20% 0% 20% 40% 60% 80% 100% 120%
y-a
xis:
Pe
rce
nti
le o
f R
ea
din
gs
Sin
ce S
tart
of
20
08
x-axis: Percentile of Readings on a 1yr Basis
Smart Beta Marginal Asset Allocation Percentile
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MASTER BIG DATA.
ALL TOLD, WE BELIEVE “BIG DATA” IS THE FUTURE OF INVESTMENT ANALYTICS AND OUR TACTICAL ASSET CLASS ROTATION MODEL (TACRM) IS AMONG THE INDUSTRY’S BEST “BIG DATA” TOOLS FOR THE PURPOSES OF GLOBAL MACRO RISK MANAGEMENT. SPECIFICALLY, TACRM HELPS INVESTORS DISTILL MASSIVE QUANTITIES OF TRENDING PRICE, VOLUME AND VOLATILITY DATA ACROSS HUNDREDS OF FACTOR EXPOSURES INTO CONCISE, ACTIONABLE AND RELIABLE MARKET COLOR, WHICH IS PRESENTED IN THE FOLLOWING TABLE:
DATA SOURCE: BLOOMBERG
HOW SMART IS “SMART BETA”?
HEDGEYE 12
FIXED INCOME & YIELD-CHASING BACKTEST RESULTS
DATA SOURCE: BLOOMBERG
380
400
420
440
460
480
500
520
540
560
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to Fixed Income & Yield Chasing (Trailing 5yr Cumulative 1wk % Change: 28.2%)
Smart Beta DECREASING Exposure to Fixed Income & Yield Chasing (Trailing 5yr Cumulative 1wk % Change: -1.8%)
JPM Global Aggregate Bond Index - Total Return Unhedged USD
HEDGEYE 13
DEVELOPED MARKET EQUITIES BACKTEST RESULTS
DATA SOURCE: BLOOMBERG
600
800
1,000
1,200
1,400
1,600
1,800
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to DM Equities (Trailing 5yr Cumulative 1wk % Change: 58.7%)
Smart Beta DECREASING Exposure to DM Equities (Trailing 5yr Cumulative 1wk % Change: -34.1%)
MSCI World Index
HEDGEYE 14
EMERGING MARKET EQUITIES BACKTEST RESULTS
DATA SOURCE: BLOOMBERG
450
550
650
750
850
950
1,050
1,150
1,250
1,350
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to EM Equities (Trailing 5yr Cumulative 1wk % Change: 46.8%)
Smart Beta DECREASING Exposure to EM Equities (Trailing 5yr Cumulative 1wk % Change: -47.5%)
MSCI Emerging Markets Index
HEDGEYE 15
FOREIGN EXCHANGE BACKTEST RESULTS
DATA SOURCE: BLOOMBERG
21
22
23
24
25
26
27
28
29
30
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to Foreign Exchange (Trailing 5yr Cumulative 1wk % Change: 7.2%)
Smart Beta DECREASING Exposure to Foreign Exchange (Trailing 5yr Cumulative 1wk % Change: -29.6%)
PowerShares DB US Dollar Index Bearish Fund
HEDGEYE 16
COMMODITIES BACKTEST RESULTS
DATA SOURCE: BLOOMBERG
180
230
280
330
380
430
480
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to Commodities (Trailing 5yr Cumulative 1wk % Change: 19.4%)
Smart Beta DECREASING Exposure to Commodities (Trailing 5yr Cumulative 1wk % Change: -57.6%)
Thomson Reuters/CoreCommodity CRB Commodity Index
HEDGEYE 17
CASH* BACKTEST RESULTS
DATA SOURCE: BLOOMBERG. *CASH IS BACKTESTED WITH THE VIX UNDER THE ASSUMPTION THAT HIGHER VOLATILITY PERIODS INCREASE THE PROPENSITY FOR INVESTORS TO RAISE CASH.
10
20
30
40
50
60
70
80
0
1
2
3
4
5
6
7
8
9
Smart Beta INCREASING Exposure to Cash* (Trailing 5yr Cumulative 1wk % Change: 422.8%)
Smart Beta DECREASING Exposure to Cash* (Trailing 5yr Cumulative 1wk % Change: -74%)
Chicago Board Options Exchange SPX Volatility Index
TRADING WITH TACRM
HEDGEYE 19
PRICE + VOLUME + VOLATILITY = INFORMED DECISION-MAKING
This chart is a summary snapshot of the price, volume and volatility signals TACRM employs for the
purposes of active risk management.
The sign of the black bars indicate whether the specific factor is
signaling BUY (positive reading), SELL (negative reading) or DO
NOTHING (reading of zero) – which in itself is a risk-managed decision. The charts on the following three slides detail how such signals are produced for each specific factor.
The blue line highlights today’s intraday high price, intraday low
price and last and/or closing price, in order from left to right.
The support and resistance levels
indicated by the green and red lines are a function of the 50-day EMA. Specifically, if last price > 50-day EMA, then support = 50-day EMA
and resistance = 50-day EMA + the largest spread between the closing price and the 50-day EMA over the
previous 50-day period. The inverse is true if last price < 50-day EMA.
DATA SOURCE: BLOOMBERG
2084.05
2067.04 2067.89
2011.00
2071.48
1960
1980
2000
2020
2040
2060
2080
2100
-2
-1
-1
0
1
1
2
Price Volume Volatility
Risk Management Decision-Tree: S&P 500 Index (SPX) Last Price Support Resistance
HEDGEYE 20
PRICE BACKTEST RESULTS
BUY SIGNAL: LAST PRICE IS GREATER THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE. SELL SIGNAL: LAST PRICE IS LESS THAN ITS TRAILING 50-DAY EXPONENTIAL MOVING AVERAGE.
DATA SOURCE: BLOOMBERG
1,000
1,200
1,400
1,600
1,800
2,000
2,200
0
1
2
3
4
5
6
7
8
9
Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 149.3%)
Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: -86.2%)
S&P 500 Index (SPX)
HEDGEYE 21
VOLUME BACKTEST RESULTS
BUY SIGNAL: THE RESPECTIVE TRAILING 3-WK TRENDS IN PRICE AND VOLUME ARE BOTH POSITIVE. SELL SIGNAL: THE TRAILING 3-WK TREND IN PRICE IS NEGATIVE WHILE THE TRAILING 3-WK TREND IN VOLUME IS POSITIVE.
DATA SOURCE: BLOOMBERG
1,000
1,200
1,400
1,600
1,800
2,000
2,200
0
1
2
3
4
5
6
7
8
9
Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 17.5%)
Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: -16.5%)
S&P 500 Index (SPX)
HEDGEYE 22
VOLATILITY BACKTEST RESULTS
BUY SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY (I.E. THE ANNUALIZED SQUARE ROOT OF SEMIVARIANCE) IS NEGATIVE ACROSS MULTIPLE DURATIONS (I.E. ON AT LEAST TWO OF THE FOLLOWING THREE DURATIONS: 100 DAYS, 150 DAYS AND 200 DAYS). SELL SIGNAL: THE TREND IN 3-DAY DOWNSIDE VOLATILITY IS POSITIVE ACROSS MULTIPLE DURATIONS.
DATA SOURCE: BLOOMBERG
1,000
1,200
1,400
1,600
1,800
2,000
2,200
0
1
2
3
4
5
6
7
8
9
Buy S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 52.8%)
Sell S&P 500 Index (Trailing 5yr Cumulative 1D % Change: 10.3%)
S&P 500 Index (SPX)
HEDGEYE 23
DISCLAIMER Hedgeye Risk Management is a registered investment advisor, registered with the State of Connecticut. Hedgeye Risk Management is not a broker dealer and does not provide investment advice to individuals. This research does not constitute an offer to sell, or a solicitation of an offer to buy any security. This research is presented without regard to individual investment preferences or risk parameters; it is general information and does not constitute specific investment advice. This presentation is based on information from sources believed to be reliable. Hedgeye Risk Management is not responsible for errors, inaccuracies or omissions of information. The opinions and conclusions contained in this report are those of Hedgeye Risk Management, and are intended solely for the use of Hedgeye Risk Management’s clients and subscribers. In reaching these opinions and conclusions, Hedgeye Risk Management and its employees have relied upon research conducted by Hedgeye Risk Management’s employees, which is based upon sources considered credible and reliable within the industry. Hedgeye Risk Management is not responsible for the validity or authenticity of the information upon which it has relied. TERMS OF USE This report is intended solely for the use of its recipient. Re-distribution or republication of this report and its contents are prohibited. For more detail please refer to the appropriate sections of the Hedgeye Services Agreement and the Terms of Use at www.hedgeye.com.
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