Conventional wisdom suggests that sectors/industries provide systematic performance and that business cycle rotation strategies generate excess market performance. However, we find no evidence of systematic sector performance where popular belief anticipates it will occur.
At best, conventional sector rotation generates modest outperformance, which quickly diminishes after allowing for transaction costs and incorrectly timing the business cycle. The results are robust to alternative sector and business cycle definitions. We find that relaxing sector rotation assumptions and letting any industry excess return predict future returns of other industries results in predictability that is not significantly different from what would be expected by random chance.
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𝐏𝐫𝐨𝐟𝐞𝐬𝐬𝐢𝐨𝐧𝐚𝐥𝐬:
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Massey Business School – Deputy PVC’s Office
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Massey Business School – Deputy PVC’s Office
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