sector rotation
Sector mean reversion on LSE large-cap stocks from 2000 to 2025: 6.47% CAGR vs 8.02% S&P 500. The strategy consistently fires (101 of 104 quarters invested) but underperforms by -1.56% annually in GBP. Energy dominates as the most selected sector.
sector rotation
Sector mean reversion on SET large caps from 2000 to 2025: 8.82% CAGR vs 8.02% S&P 500. +0.80% annual excess with 57.05% down capture. Small universe (27 avg stocks), 9 cash periods. 2023-2024 saw consecutive -28% to -30% excess. Energy and Communication Services dominate.
sector rotation
Taiwan's sector mean reversion produced 14.60% CAGR over 26 years with the highest Sharpe ratio (0.495) in a 14-exchange study. The standout metric: a down capture of -9.2%. When global markets fall, this strategy tends to go up.
sector rotation
Sector mean reversion on SIX large caps from 2000 to 2025: 4.51% CAGR vs 8.02% S&P 500. The worst excess return in this study at -3.51% annually. Consumer Cyclical and Healthcare dominate selection. Swiss market structure makes mean reversion structurally unreliable.
sector rotation
Sweden's sector mean reversion returned 12.63% annually over 26 years with a 57.7% win rate against SPY — the highest in the top five exchanges. The tradeoff: a down capture of 109.6% and a max drawdown of -62.3%.
sector rotation
Korea's sector mean reversion produced 14.65% CAGR over 26 years with a Sharpe of 0.466 and max drawdown of -37.4% — beating SPY on returns, risk-adjusted performance, and drawdown simultaneously. The standout metric: 36.7% down capture.
sector rotation
Buying the two most out-of-favor sectors on BSE and NSE each quarter returned 16.42% annually over 26 years, +8.40% above SPY. The cost: a -70.5% max drawdown and 37.5% annualized volatility that tests any strategy's durability.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.51% CAGR vs 8.02% S&P 500. 2009 was +105.53%. 2023 was -15.66% vs SPY +26%. Extreme year-to-year variance with -1.51% average annual underperformance.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 4.82% CAGR vs 8.02% S&P 500. The strategy fires consistently (101 of 104 quarters) but underperforms by -3.20% annually. Consumer Defensive and Utilities dominate selection. Export-led sector structure explains the failure.
sector rotation
Sector mean reversion on TSX large caps from 2000 to 2025: 8.41% CAGR vs 8.02% S&P 500. The strategy barely edges SPY (+0.38% annually in CAD) but with extreme volatility. 2013 excess was -48.61%, 2015 was -28.37%, 2016 was +37.26%. Energy drives most of the variance.
backtests
We tested the Oversold Quality strategy (Piotroski >= 7 + RSI < 30) on 16 stock exchanges. It underperforms SPY everywhere, but the gap ranges from -0.47% in China to -12.19% in Thailand. Cash rates explain most of the variation.
backtests
We combined Piotroski quality scores with RSI oversold signals and tested it on 25 years of US market data. The strategy underperforms SPY overall but shows defensive characteristics in bear markets.