☕️ ...

In last week's commentary, we found that the returns of a value-based sector rotation strategy appeared to largely be driven by momentum.

This week, we test momentum-based sector rotation explicitly (PDF).  

As with last week, the initial results are not quite what they seem.


🎧 LISTEN: Flirting with Models – Chris Meredith – Building a Robust Research Platform (S2E10)

Read of the Week
→ GLOBAL SECTORS: "We document significant returns for momentum (1-month and 12-1 month), earnings revisions and Sell in May seasonal, also after their publication dates. By contrast, monetary policy and valuation (mean-reversion and dividend yield) fail to predict global sector returns. Our out-of-sample tests reveal an average decay in performance of about one third."  Global Tactical Sector Allocation: A Quantitative Approach

✉️ Join Newsletter | ✎ Send us your thoughts | ✄ Share URL

Copyright © 2019 Newfound Research LLC, All rights reserved.

Want to change how you receive these emails?
You can update your preferences or unsubscribe from this list.

Newfound Case #8909308