General thoughts on Sector Rotation Strategy Faber? Discuss all general i. I am value oriented and gravitate towards things that look cheap as opposed to what has been doing well. You could do this strategy with sector ETFs. It would be better done in a tax deferred account as you would be switching and would be incurring capital gains taxes. I wouldn't try this in a taxable account.
Sector momentum seems to work in theory , see e. You can get what you want, or you can just get old. I believe all systems and methods were tried infinitum by so many people world wide and still the best over time is to buy and hold the major indices.
People want to believe that they have the magic key to unlock huge profits. Existing literature documents that cross-sectional stock returns exhibit price and earnings momentum patterns. The implementation of such strategies, however, is costly due to the large number of stocks involved and some studies show that momentum profits do not survive transaction costs. In this paper, we examine whether style and sector indexes commonly used in financial industry also have momentum patterns.
Our results show that both style and sector indexes exhibit price momentum, and sector indexes also exhibit earnings momentum. Mostly importantly, these momentum strategies are profitable even after adjusting for potential transaction costs.
Moreover, we show that price momentum in style indexes is driven by individual stock return momentum, whereas price momentum in sector indexes is driven by earnings momentum. Finally, using style indexes as illustration we show that performance of style investment can be substantially enhanced by incorporating the momentum effect. All posts 1 day 7 days 2 weeks 1 month 3 months 6 months 1 year Sort by: Author Post time Subject Direction: Board index All times are UTC No guarantees are made as to the accuracy of the information on this site or the appropriateness of any advice to your particular situation.More...