ETF Investing by Aggregating I Know First’s Algorithmic Trading Signals

In the following article we continue our analysis on computing sector-level predictions by aggregating I Know First’s stock-level forecasts and using these aggregated predictions to build strategies for sector ETF investing. In particular we:
  1. Update previously presented strategies which compute sector-level predictions by comparing the distributions of the long and short forecasts of the stocks within each sector
  2. Present new ways of aggregating our forecasts using simpler rules and show the performance of various strategies based on these
  3. Show that both the previously developed and the new, simplified decision rules give rise to portfolios that beat the benchmark and register excellent risk statistics