sector rotation - Ceta Research (Page 2)

Growth of HKD 10,000 in Sector Mean Reversion Hong Kong (HKSE) vs S&P 500 from 2000 to 2025

sector rotation

Sector Mean Reversion on Hong Kong: 6.51% CAGR, -1.51% vs S&P 500

Hong Kong's sector mean reversion result is a mixed picture. Over 26 years, the strategy returned 6.51% annualized in HKD, trailing the S&P 500's 8.02% by 1.51% per year. But the year-by-year story is anything but flat. 2009 delivered +105.53%

Growth of €10,000 in Sector Mean Reversion Germany (XETRA) vs S&P 500 from 2000 to 2025

sector rotation

Sector Mean Reversion on Germany: 4.82% CAGR, -3.20% vs S&P 500

We tested sector mean reversion on XETRA large caps from 2000 to 2025. The strategy ran cleanly: 101 of 104 quarters invested, an average of 79 stocks per period, and the signal firing almost every quarter without interruption. The result was 4.82% annualized in EUR against the S&

Growth of CAD $10,000 in Sector Mean Reversion Canada (TSX) vs S&P 500 from 2000 to 2025

sector rotation

Sector Mean Reversion on Canada (TSX): 8.41% CAGR, +0.38% vs S&P 500

We tested sector mean reversion on TSX large caps from 2000 to 2025: at the start of each quarter, find the two worst-performing sectors by 12-month return and buy every qualifying stock in them. Quarterly rebalance, equal weight, 104 periods. The result was 8.41% annualized in CAD vs 8.