Quant thesis: Biscotti assumes the hardest-hit sector over the last 30 trading days is often the best mean-reversion candidate over the next month. It is intentionally simple and fully unconditional.
Plain English: A monthly contrarian sector rotation that buys the weakest recent sector and holds for one month.
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Biscotti assumes the hardest-hit sector over the last 30 trading days is often the best mean-reversion candidate over the next month. It is intentionally simple and fully unconditional.
A monthly contrarian sector rotation that buys the weakest recent sector and holds for one month.
A monthly contrarian sector rotation that buys the weakest recent sector and holds for one month.
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The strategy is fully unconditional and can stay long a collapsing sector. Mean reversion can fail for long stretches in strong trend regimes.