SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL – AllQuant
COURSE OVERVIEW
This program institutionalizes sector rotation strategies—practiced by hedge funds—into an Excel-based system with integrated dynamic hedging. Participants construct a model that systematically selects outperforming equity sectors using momentum-based scoring while simultaneously deploying a volatility hedge to mitigate drawdowns during broad market declines. The curriculum delivers a defensive equity strategy requiring five minutes of daily operation, eliminating dependency on fundamental research or market timing discretion.
Core Value Proposition: Build a quantitative sector selection engine that captures sector-level alpha while maintaining portfolio-level risk comparable to broad market exposure, using only free data sources and Excel.
LEARNING OBJECTIVES
Upon completion, participants will demonstrate competency in:
- Sector Rotation Mechanics: Momentum-based ranking of sector ETFs using relative strength metrics
- Quantitative Investing Framework: Systematic, data-driven approach versus discretionary sector picking
- Dynamic Hedging: Integrating VIX-based or bond-based hedges to offset equity downside
- Excel Implementation: VLOOKUP, INDEX/MATCH, array formulas, and percentile ranking functions
- Rebalancing Systems: Weekly versus monthly sector rotation frequency optimization
- Transaction Cost Integration: Modeling ETF expense ratios and commission drag on high-turnover strategies
- Performance Metrics: Computing Sharpe ratio, Sortino ratio, and hedge efficiency metrics
- VBA Automation: Scripting data updates and weight optimization to minimize manual intervention
- Sector Universe Construction: Selecting liquid, low-correlation sector ETFs (XLF, XLU, XLY, XLV, etc.)
COURSE CONTENT STRUCTURE
Total Duration: Approximately 8 hours across 7 sections
- SECTION 1: INTRODUCTION (30 minutes)
- SECTION 2: CONCEPT OF SECTOR ROTATION (90 minutes)
- Empirical evidence: sector momentum persistence at 3-6 month horizons
- Sector classification: GICS framework and liquid ETF mapping (XLF, XLU, XLY, XLV, XLI, XLB, XLP, XLE)
- Relative strength ranking: price momentum, volatility-adjusted returns, risk parity sector weighting
- Dynamic hedging: VIX futures-based ETFs (VXX) or long-duration treasuries (TLT) as portfolio hedge
- Strategy weaknesses: sector concentration risk, regime shifts (e.g., 2020 COVID rotation), tax inefficiency from high turnover
- SECTION 3: EXCEL CRASH COURSE (60 minutes)
- Critical functions: VLOOKUP, INDEX/MATCH, array formulas, conditional logic, percentile ranking
- Data structuring for weekly sector price series
- VBA fundamentals: recording macros for data refresh automation
- Error checking: handling missing data and corporate actions
- SECTION 4: FINANCIAL MATHEMATICS (90 minutes)
- Arithmetic and logarithmic returns for momentum calculation
- Rolling returns: 4-week, 12-week, 24-week ranking periods
- Volatility estimation: annualized standard deviation for risk adjustment
- Sharpe ratio: computing risk-adjusted sector performance
- Hedge ratio calculation: sizing VXX/TLT position based on portfolio beta
- Transaction cost impact: modeling 0.10% commissions and 0.03% bid-ask spreads
- SECTION 5: BUILDING THE SECTOR ROTATION MODEL (180 minutes)
- Data acquisition: Yahoo Finance bulk download for nine sector ETFs
- Scoring system: combining 12-week returns (50%), volatility-adjusted returns (30%), and 4-week momentum (20%)
- Ranking engine: dynamic sorting and selecting top 3-4 sectors
- Hedge integration: VXX position scaled by VIX percentile (e.g., 20% allocation when VIX < 20, 30% when VIX > 30)
- Position sizing: equal-weight versus risk-parity weight across selected sectors
- Rebalancing logic: weekly rotation with 5% turnover threshold to minimize costs
- Backtesting engine: vectorized simulation with transaction cost drag
- SECTION 6: OPERATING THE SECTOR ROTATION MODEL (30 minutes)
- Daily workflow: 5-minute data update and signal verification protocol
- Weekly rotation: executing sector switches and hedge adjustments
- Risk monitoring: sector concentration limits (max 30% per sector), correlation drift
- Performance logging: separating sector alpha from hedge payoffs
- Crisis protocol: temporarily rotating to defensive sectors (XLU, XLP) and increasing hedge when VIX > 40
- SECTION 7: BONUS: VBA SCRIPTS (30 minutes)
- Automated data refresh: button-click update for nine sector ETFs and VIX
- Scoring automation: macro to compute rankings and generate trade list
- Hedge sizing: VBA to calculate VXX/TLT allocation based on VIX percentile
DELIVERABLES & RESOURCES
- Fully Completed Model File: Live-ready Excel workbook with sector scoring engine, ranking system, and dynamic hedge calculator
- VBA Automation Scripts: Pre-written macros for daily data refresh and weekly ranking calculations
- Guided Build Templates: Step-by-step worksheets for progressive model construction
- Practice Exercises: Sector rotation mathematics and hedge ratio problem sets with solutions
- Performance Analytics Worksheet: Pre-built metrics calculator for Sharpe ratio, sector attribution, and hedge efficiency
- Decision Dashboard: Interactive interface showing current rankings, selected sectors, hedge allocation, and rebalancing alerts
TARGET AUDIENCE PROFILE
- Optimal Fit:
- Equity portfolio managers seeking systematic sector alpha without stock picking
- Investment advisors managing ₹25+ lakh client portfolios requiring sector diversification
- Sophisticated self-directed investors wanting to outperform broad indices while controlling downside
- Quantitative analysts building tactical asset allocation overlays for asset management firms
- Proprietary traders rotating capital across sector themes systematically
- Suboptimal Fit:
- Individuals seeking buy-and-hold simplicity (strategy requires weekly rebalancing)
- Participants uncomfortable with high portfolio turnover (annual turnover 300-400%)
- Investors without intermediate Excel proficiency (ranking engine debugging is complex)
- Traders requiring intraday signals (strategy operates on weekly rotation frequency)
- Those in taxable jurisdictions without regard for short-term capital gains (strategy triggers frequent STCG)
PREREQUISITES & TECHNICAL REQUIREMENTS
- Intellectual Prerequisites:
- Equity market mechanics: understanding of sectors, ETFs, and market-cap weighting
- Statistics: percentile ranks, correlation, rolling returns
- Portfolio theory: basic appreciation of diversification and hedging concepts
- Derivatives basics: VIX futures and volatility ETF mechanics (for hedge module)
- Technical Prerequisites:
INSTRUCTOR BIOGRAPHIES
ENG GUAN – CO-FOUNDER & LEAD INSTRUCTOR
Quantitative investment practitioner with 15+ years spanning sovereign wealth funds, investment banks, proprietary trading desks, and multi-strategy hedge funds. Most recent role: key Portfolio Manager at a Singapore-based multi-strategy hedge fund, managing cross-asset systematic strategies with direct P&L responsibility. Holds MSc in Financial Engineering specializing in derivatives pricing and optimal execution algorithms.
Pedagogical Edge: Direct hedge fund implementation experience ensures instruction reflects operational realities: transaction cost management, liquidity constraints, and institutional risk mandates. Sovereign wealth fund background provides long-horizon perspective on sector rotation persistence.
PATRICK LING – CO-FOUNDER & SENIOR INSTRUCTOR
15+ years comprehensive investment industry experience across private banking (UBS), investment banking (Goldman Sachs), and hedge fund portfolio management. As a key Portfolio Manager at the same Singapore-based multi-strategy hedge fund, he co-managed systematic equity strategies and developed proprietary risk analytics. Holds MSc in Wealth Management integrating quantitative techniques with high-net-worth client portfolio construction.
Pedagogical Edge: Private banking experience translates quantitative sector rotation into executable processes for non-institutional investors. Hedge fund tenure provides insight into combining sector momentum with volatility hedging—critical context for preventing single-strategy failure.
Joint Credibility: Both instructors maintain parallel practitioner careers, ensuring curriculum evolves with current industry standards rather than academic abstraction.
METHODOLOGICAL APPROACH
The course employs a "build-operate-stress test" framework. Participants construct the sector rotation model, operate it through four regimes (bull market, bear market, high volatility, low volatility), then stress-test hedge effectiveness during correlation breakdowns. Each module includes failure-mode analysis: what happens when momentum fails (whipsaw), when hedge fails to offset losses, and when all sectors drop simultaneously.
Instruction emphasizes ranking methodology robustness over return prediction, teaching participants to think in terms of relative strength persistence rather than absolute sector calls.
Time Commitment: Video instruction totals 8 hours; practical implementation requires estimated additional 4-6 hours for independent model building and parameter calibration. Five-minute daily operation assumes stable model and reliable data feeds.
STRATEGY SCOPE & LIMITATIONS
Geographic Application: Explicit model calibrated for U.S. sector ETFs (SPDR sector series: XLF, XLU, XLY, XLV, XLI, XLB, XLP, XLE plus VXX hedge). Mathematical architecture is transferable to Indian markets (Nifty sector indices, sectoral ETFs) where liquid instruments exist.
Capacity Considerations: Sector rotation strategy requires minimum capital of ₹15 lakh for effective implementation across 3-4 sectors plus hedge while keeping transaction costs below 0.15% annually.
Performance Expectations: Model targets 12-14% annual returns with 18-20% volatility (Sharpe ratio ≈ 0.6-0.7), outperforming S&P 500 by 2-3% annually while matching its volatility. The dynamic hedge reduces maximum drawdown from -50% to -35% during 2008/2020-style crashes.
Key Limitations:
- High turnover: Weekly rebalancing triggers significant short-term capital gains; after-tax edge may disappear in high-tax jurisdictions
- Regime dependency: Momentum fails during rapid sector rotations (e.g., March 2020 COVID rotation from cyclicals to defensives)
- ETF tracking error: Sector ETFs exhibit 0.05-0.10% annual tracking error versus indices
- Hedge cost: VIX-based hedge incurs contango decay of 5-10% annually during calm markets, creating performance drag
BOTTOM-LINE ASSESSMENT
This program provides precise, practitioner-validated sector rotation infrastructure with integrated hedging, built entirely in Excel. The instructors' hedge fund experience ensures the model addresses real-world frictions: transaction costs, sector liquidity constraints, and hedge efficiency decay during volatile periods.
Critical Differentiator: Unlike academic momentum courses, this explicitly teaches dynamic hedging integration—a non-optional component for non-institutional investors who cannot tolerate 50% drawdowns during sector rotation failures.
For portfolio managers, investment advisors, and sophisticated HNW investors seeking systematic sector alpha with downside protection, this represents the most complete Excel-based implementation of hedge fund sector rotation principles without programming requirements. The primary risk is tax inefficiency: weekly turnover generates significant STCG that can erode 1-2% of annual edge. Participants should implement in tax-advantaged accounts where possible.
Get SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL or the other courses from the same one of these categories: Asset Allocation, Trading Systems, Probability, Rules-based, All-weather, Volatility, Statistics, Systematic, Investing, Defensive, AllQuant, Trading, Finance, Course, Sector, excel, Trend for free on Download Courses.
Share Course SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL, Free Download SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL, SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL Torrent, SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL Download Free, SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL Discount, SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL Review, AllQuant – SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL, SECTOR INVESTING (SECTOR ROTATION) VIA QUANTITATIVE MODELING IN EXCEL, AllQuant.