Dynamic Asset Allocation Using Systematic Sector Rotation
22 Pages Posted: 28 Mar 2018
Date Written: December 1, 2003
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: Suggested Citation