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A systematic approach to global equity sectors rotation
| Nome: | Descrição: | Tamanho: | Formato: | |
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| 1.03 MB | Adobe PDF |
Orientador(es)
Resumo(s)
Back in 2000, the burst of the IT bubble sunk global equities. Regardless, five out of ten GICS sectors had positive returns over that year. Global equity sectors rotation might become even more relevant as globalisation/integration evolve, with industry effects eventually taking over country effects. This paper details the set-up and performance of a sector rotation systematic strategy, supporting Millennium BCP’s Wealth Management Unit on its asset allocation procedures. It is shown that momentum and low-volatility “anomalies” are evidenced at industry level, macroeconomic indicators support a choice between cyclical/defensive sectors, and that specific factors further fine-tune an efficient rotation.
Descrição
Palavras-chave
Global equity Sector rotation Asset allocation Factor investing Macroeconomic indicators.