Sector Rotation and Monetary Conditions

  title={Sector Rotation and Monetary Conditions},
  author={C. Mitchell Conover and Gerald R. Jensen and Robert R. Johnson and Jeffrey M. Mercer},
We investigate the efficacy of a sector rotation strategy that utilizes an easily observable signal based on monetary conditions. Using 33 years of data, we find that the rotation strategy earns consistent and economically significant excess returns while requiring only infrequent rebalancing. The strategy places greater emphasis on cyclical stocks during periods of Fed easing, and overweights defensive stocks during periods of Fed tightening. Interestingly, the benefits from the rotation… 
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Sector Rotation through the Business Cycle: A Machine Learning Regime Approach
  • M. Sauer
  • Economics
    SSRN Electronic Journal
  • 2019
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