sector rotation
We ran the same strategy on 14 stock exchanges. 13 of 14 beat SPY. One market failed completely, and the failure tells you exactly when momentum stops working. Contents 1. The Setup 2. Full Results: 14 Exchanges 3. What the Pattern Shows 4. Asia dominates 5. Canada surprises 6. Switzerland:
sector rotation
Sector Momentum Rotation: Chasing Industry Trends Across 26 Years of US Markets Sector momentum is one of the few quantitative signals that has survived decades of academic scrutiny and real-world testing. The idea: industries that outperformed recently tend to keep outperforming. Buy the winners. Let the losers sit. Contents 1.
sector rotation
Korea Sector Momentum: The Lowest Down Capture of Any Strategy We've Tested 16.46% down capture. That's the number that stops you. Contents 1. The Strategy 2. Results 3. Which Sectors Drive Korea's Rotation 4. When It Works 5. When It Struggles 6. Full
sector rotation
Sector Mean Reversion on 14 Global Exchanges: Emerging Markets Win, Developed Markets Struggle We ran the same sector mean reversion strategy on 14 exchanges from 2000 to 2025: at the start of each quarter, rank all sectors by their equal-weighted 12-month return and buy every qualifying stock in the bottom
sector rotation
We ran a sector mean reversion strategy on London Stock Exchange large-cap stocks from 2000 to 2025. The result was 6.47% annualized in GBP terms, a -1.56% shortfall against the S&P 500, and a portfolio that was invested in 101 of 104 quarters. The strategy fires
sector rotation
Thailand's sector rotation strategy returned 8.82% annually from 2000 to 2025, in THB, against the S&P 500's 8.02%. The +0.80% annual excess is slim but real. More interesting is the 57.05% down capture: in years when the global market falls,
sector rotation
Taiwan's sector rotation strategy returned 14.60% annually from 2000 to 2025, in TWD, while the S&P 500 returned 8.02%. What makes Taiwan stand out isn't just the top-line number. It produced the highest Sharpe ratio (0.495) of every exchange we tested,
sector rotation
Switzerland's sector rotation strategy returned 4.51% annually from 2000 to 2025, in CHF, against the S&P 500's 8.02%. That's -3.51% annual underperformance, the worst excess return of any exchange in this study. It has the lowest Calmar ratio (0.
sector rotation
Sweden's sector rotation strategy returned 12.63% annually from 2000 to 2025, in SEK, against the S&P 500's 8.02%. It beats the index in 57.7% of individual years, the highest win rate of any of the top five exchanges in our study.
sector rotation
Korea's sector mean reversion is the standout result across every market we've tested. 14.65% CAGR in KRW, Sharpe of 0.466, max drawdown of -37.4%. When markets fell, this portfolio barely moved, down capture of 36.7%. When markets rose, it kept up. Over
sector rotation
We ran a sector mean reversion strategy on Japan Exchange Group large-cap stocks from 2000 to 2025. The result was 7.12% annualized in JPY terms, a -0.91% shortfall against the S&P 500, and a down capture of 57.72%. The strategy nearly broke even with the
sector rotation
India's stock market rewards sector mean reversion handsomely. Over 26 years, buying the two most out-of-favor sectors on BSE and NSE each quarter produced 16.42% annually in INR, turning $10,000 into $520,500. That's +8.40% per year above SPY. The catch: you'