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The facts behind sector rotation
Date de parution
2011
Résumé
The conventional wisdom on outperforming with a sector rotation strategy postulates that an investment strategy involving a series of specific sector allocation shifts through the stages of the business cycle outperforms a passive strategy. Most professional investors seem to agree with the perspective on which sectors perform well across the business cycle.
In this talk we take a close look at the econometric facts behind this conventional view. While we do not test whether actual sector rotation works, we test the fundamental assumptions underlying sector rotation. Do sector returns differ significantly across the business cycle?
In this talk we take a close look at the econometric facts behind this conventional view. While we do not test whether actual sector rotation works, we test the fundamental assumptions underlying sector rotation. Do sector returns differ significantly across the business cycle?
Notes
, Research seminar, UNINE, EPFL, University of Copenhaga, University of Göteborg
Type de publication
Resource Types::text::conference output::presentation
