RT Journal Article
SR Electronic
T1 Sector Rotation in Times of Crises
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP jpm.2022.1.379
DO 10.3905/jpm.2022.1.379
A1 Pratiksha Sharma
A1 Dhruvi Nishar
A1 Vedant Kabra
A1 Peyasha Sehgal
A1 Debashis Guha
A1 Larry Pohlman
YR 2022
UL https://pm-research.com/content/early/2022/06/11/jpm.2022.1.379.abstract
AB We study a sector rotation strategy that switches among equity sectors and from equities to T-bills based on signals of a high-volatility regime in equities. We find that an implementation of the strategy using highly liquid sector-specific ETFs would have earned 6.6% more than the S&P 500 per year during the period December 1998 to December 2020, while experiencing much lower volatility. The performance of the strategy is especially strong during crisis periods such as the 1998–2002 crash and recession, the 2008–2009 Great Recession, and the COVID-19 recession, with much higher and smoother returns than the S&P 500.