sector rotation - Trading Studio (Page 2)

Growth of INR 10,000 invested in Sector Mean Reversion (NSE) vs Sensex from 2000 to 2025

sector rotation

Sector Mean Reversion in India: 12.68% CAGR, and Almost No Edge Over the Sensex

Buying the two most out-of-favor sectors on NSE each quarter returned 12.68% annually over 26 years against the Sensex's 11.24%. On a beta of 1.348 that +1.44% gap becomes a -0.21% Jensen alpha, and it costs a -69.67% max drawdown to earn.

Growth of KRW 10,000 invested in Sector Mean Reversion (KSC) vs KOSPI from 2000 to 2025

sector rotation

Sector Mean Reversion in Korea: Highest CAGR and Shallowest Drawdown of 13 Exchanges

Korea's sector mean reversion produced 14.28% CAGR over 26 years, the highest of 13 exchanges, with a Sharpe of 0.434 and a max drawdown of -35.09% against the KOSPI's own -52.73%. Beta 0.918, Jensen alpha +8.95%: the edge is alpha, not leverage.

Sector Mean Reversion CAGR by Exchange: 13 global markets from 2000-2025, with Korea and Taiwan around 14% and Germany lowest at 2.58%

sector rotation

Sector Mean Reversion on 13 Exchanges: Where Excess Return Is Actually Alpha

Same sector mean reversion strategy across 13 exchanges, each against its own local index. Taiwan +9.35%, Korea +8.74%, Sweden +7.40% excess CAGR. Germany is the only local failure at -2.61%. But India's +1.44% excess is a negative alpha once you adjust for beta, and so is most of the US result.

Growth of $10,000 invested in Sector Mean Reversion vs S&P 500 from 2000 to 2025, showing the strategy outperforming with stronger recoveries after the dot-com bust and 2009 financial crisis

sector rotation

Sector Mean Reversion: Buying What the Market Hates Worked for 26 Years on US Stocks

We tested buying the bottom 2 sectors by 12-month return on US large caps, quarterly, from 2000 to 2025. The result: 10.60% CAGR vs 8.02% for the S&P 500, a 1273% total return, and a 53.85% quarterly win rate over 104 periods. Beta-adjusted, the alpha is +0.75%.