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Tag: sector rotation (Page 1 of 2)

Sector Momentum

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On September 3, 2019

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

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On August 26, 2019

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

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On August 19, 2019

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?

By

On May 22, 2017

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

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On March 13, 2017

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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