Gauging the effectiveness of sector rotation strategies: evidence from the USA and Europe

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dc.contributor.authorAlexiou, Constantinos
dc.contributor.authorTyagi, Anshul
dc.date.accessioned2020-06-16T15:55:37Z
dc.date.available2020-06-16T15:55:37Z
dc.date.issued2020-04-19
dc.description.abstractThis paper examines the performance of different sector rotation strategies for the US and European market spanning the period 1999–2019. By utilising three different strategies, we shed further light on the effectiveness of interest rate, momentum and Fama–French three- and five-factor alphas as switching signals to enter and exit a particular sector. The emerging evidence suggests that within the European market, sector rotation strategies tend to produce returns above the average benchmark, both during contractionary and expansionary monetary policy regimes, while excessive returns within both the US and European markets are observed.en_UK
dc.identifier.citationAlexiou C, Tyagi A. (2020) Gauging the effectiveness of sector rotation strategies: evidence from the US and Europe, Journal of Asset Management, Volume 21, Issue 3, May 2020, pp. 239-260en_UK
dc.identifier.issn1470-8272
dc.identifier.urihttps://doi.org/10.1057/s41260-020-00161-6
dc.identifier.urihttp://dspace.lib.cranfield.ac.uk/handle/1826/15495
dc.language.isoenen_UK
dc.publisherPalgrave Macmillanen_UK
dc.rightsAttribution-NonCommercial 4.0 International*
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/*
dc.subjectSector rotationen_UK
dc.subjectFama-Frenchen_UK
dc.subjectMomentumen_UK
dc.subjectInterest rateen_UK
dc.subjectBusiness cyclesen_UK
dc.titleGauging the effectiveness of sector rotation strategies: evidence from the USA and Europeen_UK
dc.typeArticleen_UK

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