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
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
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
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
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.
sector rotation
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.
sector rotation
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.
sector rotation
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.