sector rotation
Korea sector momentum rotation delivered 24.44% CAGR over 26 years with a down capture of just 16.46% — the lowest across all 14 exchanges we tested. $10,000 grew to $2.94 million. Healthcare and Consumer Defensive drove the rotation through Korea's aging demographics.
sector rotation
We ran sector momentum rotation on US markets from 2000-2025. Top 2 sectors by 12-month equal-weighted return, held quarterly. Result: 10.42% CAGR vs 8.02% SPY, -1.0% in 2022 while SPY fell 19%. Full methodology and SQL included.
sector rotation
We ran sector momentum rotation on 14 stock exchanges. 13 of 14 beat SPY. Korea, India, and Canada lead. Switzerland is the only market that fails, and the reason reveals when momentum stops working.
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.
sector rotation
Same sector mean reversion strategy across 14 exchanges. vs local benchmarks: Sweden +9.01%, Taiwan +8.97%, UK +7.86%, Korea +7.33% excess CAGR. Germany is the only market that fails to beat its local index (-0.59%). The benchmark matters.
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 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
Buying the two most out-of-favor sectors on NSE each quarter returned 13.48% annually over 26 years, +2.23% above Sensex. The cost: a -72.65% max drawdown and 38% annualized volatility that tests any strategy's durability.
sector rotation
Sector mean reversion on JPX large caps from 2000 to 2025: 7.12% CAGR vs 8.02% S&P 500. Near-breakeven (-0.91%) with Sharpe 0.337 (better than US 0.319 due to near-zero Japanese risk-free rate) and 57.7% down capture. Utilities selected 41% of quarters. Fukushima created persistent Utilities...
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
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
We tested buying the bottom 2 sectors by 12-month return on US large caps, quarterly, from 2000 to 2025. The result: 10.63% CAGR vs 8.02% for the S&P 500, a 1282% total return, and a 55.8% quarterly win rate over 104 periods.