Exchange-Traded Funds (ETFs)

摘要: This chapter discusses trading strategies for exchange-traded funds (ETFs), including detailed mathematical descriptions. Momentum-based include sector momentum rotation, which can be augmented with a filter based on moving averages. Another strategy is dual-momentum utilizes both cross-sectional and time-series momentum. The also other such as those ETF alpha rotation alphas obtained using serial regression against the three Fama–French factors, R-squared known “selectivity” residuals of factors plus Carhart’s factor, mean-reversion internal bar strength (IBS), arbitraging long-run negative drift in leveraged ETFs by shorting inverse ETF, multi-asset trend-following ETFs.