Tag: volatility targeting
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XLF Sector Allocation Strategy Should Prioritize Risk-Controlled Exposure Over Daily Timing
Executive Summary Return profile: XLF earned 19.46% annualized with 15.22% volatility and a 16.61% maximum drawdown in the sample. Statistical edge: Weak. Variance-ratio tests do not reject a random-walk benchmark, and ARIMA selects (0,0,0), so daily return timing has not earned trust. Practical takeaway: Pivot from trying to predict tomorrow’s direction toward risk modeling, volatility…
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SPY Shows Strong Returns But No Reliable Daily Timing Edge; Focus on Volatility and Risk Management
Executive Summary Return profile: SPY earned 23.94% annualized with 12.81% volatility and a 10.15% maximum drawdown in the sample. Statistical edge: Weak. Variance-ratio tests do not reject a random-walk benchmark, and ARIMA selects (0,0,0), so daily return timing has not earned trust. Practical takeaway: Pivot from trying to predict tomorrow’s direction toward risk modeling, volatility…
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XLP Shows Defensive Potential With Limited Daily Return Predictability, Favoring Risk-Managed Strategies
Executive Summary Return profile: XLP earned 6.03% annualized with 10.61% volatility and a 13.57% maximum drawdown in the sample. Statistical edge: Weak. Variance-ratio tests do not reject a random-walk benchmark, and ARIMA selects (0,0,0), so daily return timing has not earned trust. Practical takeaway: Pivot from trying to predict tomorrow’s direction toward risk modeling, volatility…