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.
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.
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 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.
backtests
We combined Piotroski quality scores with RSI oversold signals and tested it on 25 years of US market data. The strategy matches SPY over the full period, with most of the work done by a handful of crash and recovery years.
backtests
Oversold Quality on German XETRA stocks: 7.17% CAGR, +2.05% above the DAX, Sharpe 0.308, and a 29% down-capture. The best risk-adjusted result in our 18-exchange series, with a max drawdown less than half the DAX's. The 39% cash rate is the honest caveat.
backtests
The Oversold Quality strategy on Chinese A-shares (SHZ+SHH) delivered 7.21% CAGR vs 4.19% for the SSE Composite over 25 years. One of the exchanges in our global series where the strategy clearly beats the local benchmark, with strong downside protection.
backtests
Oversold Quality (Piotroski >= 7 + RSI < 30) on 18 exchanges. China beats the SSE Composite by +3.02%, Germany beats the DAX by +2.05%, and the US draws even with the S&P 500. The other 15 trail their local benchmarks.