Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe

Constantinos Alexiou and Anshul Tyagi
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Anshul Tyagi: Carlsquare

Journal of Asset Management, 2020, vol. 21, issue 3, No 5, 239-260

Abstract: Abstract This paper examines the performance of different sector rotation strategies for the US and European market spanning the period 1999–2019. By utilising three different strategies, we shed further light on the effectiveness of interest rate, momentum and Fama–French three- and five-factor alphas as switching signals to enter and exit a particular sector. The emerging evidence suggests that within the European market, sector rotation strategies tend to produce returns above the average benchmark, both during contractionary and expansionary monetary policy regimes, while excessive returns within both the US and European markets are observed.

Keywords: Sector rotation; Fama–French; Momentum; Interest rate; Business cycles (search for similar items in EconPapers)
JEL-codes: E32 E52 G11 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1057/s41260-020-00161-6

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