sector rotation - Ceta Research (Page 2)

Growth of CHF 10,000 in Sector Mean Reversion Switzerland (SIX) vs SMI from 2000 to 2025

sector rotation

Sector Mean Reversion on Swiss Stocks (SIX): 4.62% CAGR, +2.31% vs SMI

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.

Growth of $10,000 invested in Taiwan sector mean reversion strategy (TAI + TWO) vs TAIEX from 2000 to 2025

sector rotation

Sector Mean Reversion in Taiwan: 13.73% CAGR and the Best Sharpe Ratio in Our 14-Exchange Study

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.

Growth of THB 10,000 in Sector Mean Reversion Thailand (SET) vs SET Index from 2000 to 2025

sector rotation

Sector Mean Reversion on Thai Stocks (SET): 8.23% CAGR, +4.54% vs SET Index

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.

Growth of £10,000 in Sector Mean Reversion UK (LSE) vs FTSE 100 from 2000 to 2025

sector rotation

Sector Mean Reversion on UK Stocks (LSE): 9.42% CAGR, +7.86% vs FTSE 100

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.