Hypotheses
One-Year Sector Relative-Performance Reversal: Annual Long-Short ETF Ranking
Derived by the Research Lead from Kelvin J. L. Koa et al., Regime-Aware Interpretable Ranking for Sector Rotation: operationalize the section 5.1 finding that trailing twelve-month sector performance ranks below chance…
Hypothesis
Derived by the Research Lead from Kelvin J. L. Koa et al., Regime-Aware Interpretable Ranking for Sector Rotation: operationalize the section 5.1 finding that trailing twelve-month sector performance ranks below chance against subsequent one-year sector-benchmark Sharpe. This is an independently specified trading test of that finding, not a replication of RegimeRank, its Bloomberg inputs, attention architecture or reported ranking results. Use split-adjusted USEQ daily bars and annual, non-overlapping portfolio episodes. Source baseline formation and forecast horizons are approximately 52 weeks, represented by 252 trading sessions. I choose listed sector ETFs, two long and two short sectors, execution, allocation and exit rules. The platform excludes dividends, so this measures price-return reversal only. No performance pre-study was used. All market orders fill at the next session open; no same-close execution is required.
Analysis
Regime-Aware Interpretable Ranking for Sector Rotation
Backtest and paper results are hypothetical. Trading involves risk of loss.