Flirting with Models

The Research Library of Newfound Research

Tag: sector rotation (Page 1 of 2)

Sector Momentum

We explore “top N” U.S. sector rotation strategies based upon momentum signals. We find that post-2000 returns can be explained by an equal-weight tilt.

Es-CAPE Velocity: Value-Driven Sector Rotation

We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.

Using PMI to Trade Cyclicals vs Defensives

We find little evidence supporting the notion that PMI changes can be used for constructing a long/short cyclicals versus defensives trade.

Can We Improve Sector Rotation?

Momentum-based sector rotation is a popular investment strategies. Can we introduce advancements in momentum investing to improve it?

Sector Rotation and the Momentum Factor

In this commentary we explore the connection between sector rotation and the momentum factor and ask whether sector rotation is meaningfully different.

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