I am looking to compare the returns of a sector rotation strategy between the various
SPDR sector ETFs
vs. the returns of just investing in the SPY overall S&P 500 ETF.
I am using the price data of the 9 ETFs vs. the price data of the SPY ETFs and would like to normalize based on a fixed notional. The sector ETF prices are between 24.75-81.11. The SPY ETF sits at around 200.
How do I best compare their returns?
Ways I've heard of are:
a'(i) := [ a(i) - mean( a ) ] / std_dev( a ) a'(i) := [ a(i) - min( a ) ] / [ max ( a ) - min ( a ) ]
I also see a number of suggestions at: How to normalize stock data but am not sure which one would be most appropriate for this purpose.
I suppose moving averages can also be used. I'm working with 5 years of daily close price data.