No. of Recommendations: 3
I generally use a GTAA-4 system (traded at end/beginning of month, buy top 4 asset classes, sell any that have dropped out by EOM) for my equity allocation. For some time I have had this crazy idea to short the lowest ranked asset class out of the 13 I follow. At the moment it's Real Estate (VNQ index).
Portviz doesn't do or even allow negative factors and "selling".
The lowest ranked asset class is usually well below its MA and is in various levels of downtrend. But... worth shorting? We know how these things turn on a dime. Tough to backtest.
Crazy?
FC
No. of Recommendations: 8
FWIW, so long ago that I can't remember details, I looked at shorting those falling below SMA200 (or was it a momentum strategy?).
IIRC, the 'bad' choices don't necessarily do badly (which would be good for shorting), instead they just don't do so well (bouncing around, so not great for shorting).
If eyeballing behavior of some low ranked choices isn't sufficient, the 'pro' version of portfoliovisualizer allows you to upload your own return time series. Could backtest by uploading the negative return series of the thing you want to short. Wouldn't include fees of shorting, but if it's not looking good before fees then it certainly won't after fees.
