XLU is still outperforming both XLB and XLI, how does that sit together with the sector switching model?
The goal is to beat the S&P over time, by following breadth and money-flow.To do that, it needs to be better than the average sector most of the time, not better than the best sector all of the time. If I could do that, the model would make 80% a year instead of 25% ;-).
Makes total sense. Would a hedged version be possible, i.e. long the sector with the best breadth/MF and short the sector with the worst? The benchmark would be cash, or risk-free rate.
I do have a long-short version of the model that I'm tracking privately. It selects the greatest deviation from neutral, which would be short XLP, rather than long XLI (cash neutral would be both, of course).I've been posting that on a forum I frequent, but haven't been on the blog. I suppose I could if there's an interest.