Dynamic Asset Allocation Using Systematic Sector Rotation

22 Pages Posted: 28 Mar 2018

See all articles by Massimiliano Tani

Massimiliano Tani

University of New South Wales - Australian Defence Force Academy; IZA Institute of Labor Economics

Date Written: December 1, 2003

Abstract

This paper uses the insight that the sectors composing the economy perform differently and (to a certain extent) independently one another over the phases of the economic cycle to explore the existence of investment rules capable of exploiting such dynamics and over-perform market returns. The analysis uses three simple market-timing techniques on 41 funds of the Fidelity Select Sector family over the period January 1998-September 2003. The results indicate that each technique can exploit the pathdependency of the returns across sectors, and consistently over-perform the return of a buy-and-hold strategy. It is hoped that these results will encourage investors, investment managers, and academics to further investigate some of the heuristic models successfully used by practitioners.

Keywords: Dynamic Asset Allocation, Sector Rotation

JEL Classification: C15, C61

Suggested Citation

Tani, Massimiliano, Dynamic Asset Allocation Using Systematic Sector Rotation (December 1, 2003). Available at SSRN: https://ssrn.com/abstract=548162 or http://dx.doi.org/10.2139/ssrn.548162

Massimiliano Tani (Contact Author)

University of New South Wales - Australian Defence Force Academy ( email )

Sydney, NSW 2052
Australia
+612 6268 8512 (Phone)
+612 6248 8450 (Fax)

HOME PAGE: http://www.unsw.adfa.edu.au/sbus/staff_cvs/about_max_t.html

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072
Germany

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