sector rotation
Sweden's sector mean reversion returned 10.79% annually over 26 years and beat OMX30 in 19 of 26 calendar years (73.1%) and 67.31% of quarters, the most consistent record of 13 exchanges. The tradeoff: a max drawdown of -62.27% and a beta above 1.
sector rotation
Taiwan's sector mean reversion produced 14.12% CAGR over 26 years with the highest Sharpe ratio (0.485) in a 13-exchange study. The standout metric: a down capture of 52.88%, so the portfolio absorbed about half the TAIEX's losses while keeping 110.19% of its gains.
sector rotation
Korea sector momentum delivered 19.76% CAGR over 26 years, +14.21% above the KOSPI and the largest Jensen alpha of our 13 markets at +14.29%. It beat the local benchmark in 21 of 26 years while carrying less market risk than the index.
sector rotation
We ran sector momentum rotation on US markets from 2000-2025. Top 2 sectors by 12-month equal-weighted return, held quarterly. Result: 10.96% CAGR vs 8.02% SPY, 79.18% down capture, +3.08% Jensen alpha. Full methodology and SQL included.
sector rotation
We ran sector momentum rotation on 13 stock exchanges. All 13 beat their local benchmark, and all 13 survive a risk adjustment. Korea leads on alpha at +14.29%, Canada on Sharpe at 0.591, India on raw return at 21.45% CAGR. Switzerland was never a failure.
sector rotation
Sector mean reversion on JPX large caps from 2000 to 2025: 6.90% CAGR vs 3.93% for the Nikkei 225, a +2.97% annual excess with Sharpe 0.333 and 66.82% down capture. Max drawdown of -50.39% beat the Nikkei at -61.06%. Utilities took 39% of quarters, a tilt created by Fukushima.
sector rotation
Sector mean reversion on SET large caps from 2000 to 2025: 8.85% CAGR against the SET Index's 3.69%, a +5.15% annual excess with 70.85% down capture. It also beats the index on drawdown, -42.36% against -48.10%. Small universe at 26 average stocks, 6 cash periods of 104.
sector rotation
Sector mean reversion on SIX large caps from 2000 to 2025: 4.69% CAGR in CHF vs 2.31% for the SMI, a +2.38% annual edge. Financial Services is the most-selected sector at 33% of quarters. Against SPY (8.02%) the strategy still trails by -3.33% a year.
sector rotation
Sector mean reversion on HKSE large caps from 2000 to 2025: 6.87% CAGR vs 1.61% for the Hang Seng, a +5.26% annual outperformance. 2009 was +77.76%, 2008 was -47.51%. Sharpe 0.148 against a Hang Seng that scored negative at -0.065. Extreme year-to-year variance.
sector rotation
Sector mean reversion on TSX large caps from 2000 to 2025: 8.86% CAGR in CAD vs 5.26% for the TSX Composite, a +3.61% annual edge. Energy is the most-selected sector at 29% of quarters. Four years supply almost all of the excess, and the max drawdown is -48.55%.
sector rotation
Sector mean reversion on XETRA large caps from 2000 to 2025: 2.58% CAGR vs the DAX's 5.19%. The strategy fires every quarter and still loses by -2.61% annually, at the same volatility and a deeper drawdown. Germany is the only market in the study that fails locally.
sector rotation
Sector mean reversion on LSE large caps from 2000 to 2025: 6.51% CAGR in GBP vs 1.55% for the price-only FTSE 100, a +4.96% annual edge. Energy is the most-selected sector at 31% of quarters. Against SPY (8.02%) the strategy trails by -1.51% a year.