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Primary Article

Risks of Sector Rotation Strategies

Stefano M.F.G Cavaglia, David Cho and Brian D Singer
The Journal of Portfolio Management Summer 2001, 27 (4) 35-44; DOI: https://doi.org/10.3905/jpm.2001.319811
Stefano M.F.G Cavaglia
Head of Equity Strategy at Brinson Partners (UBS Asset Management) in Chicago (IL 60604).
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David Cho
A doctoral candidate at the University of Chicago and was an intern at Brinson Partners at the time of this writing.
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Brian D Singer
Head of Asset Allocation and Risk Management at Brinson Partners (UBS Asset Management) in Chicago (IL 60604).
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Abstract

Global factors are playing an increasingly important role in the pricing of securities. It is a new challenge to identify the sources of those global factors and to structure portfolios that exploit the reward–to–risk opportunities from variation in these factors. The authors build on research suggesting that industry factors capture an economically important component of the variation in security returns. Postulating a risk model that explicitly accounts for regional sector rotation decisions, they find that sensitivities to foreign factors are positively associated with the extent of firms' foreign sales activities. This provides empirical support for a reduced–form structural model, and it suggests that foreign sales data can be used as a conditioning variable to obtain economically sensible risk factor sensitivities.

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Risks of Sector Rotation Strategies
Stefano M.F.G Cavaglia, David Cho, Brian D Singer
The Journal of Portfolio Management Jul 2001, 27 (4) 35-44; DOI: 10.3905/jpm.2001.319811

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Risks of Sector Rotation Strategies
Stefano M.F.G Cavaglia, David Cho, Brian D Singer
The Journal of Portfolio Management Jul 2001, 27 (4) 35-44; DOI: 10.3905/jpm.2001.319811
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