English

Sector Rotation by Factor Model and Fundamental Analysis

Portfolio Management 2024-01-02 v1

Abstract

This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns. Through factor analysis, the paper underscores the significance of momentum and short-term reversion in dictating sectoral shifts. A subsequent in-depth fundamental analysis evaluates metrics such as PE, PB, EV-to-EBITDA, Dividend Yield, among others. Our primary contribution lies in developing a predictive framework based on these fundamental indicators. The constructed models, post rigorous training, exhibit noteworthy predictive capabilities. The findings furnish a nuanced understanding of sector rotation strategies, with implications for asset management and portfolio construction in the financial domain.

Keywords

Cite

@article{arxiv.2401.00001,
  title  = {Sector Rotation by Factor Model and Fundamental Analysis},
  author = {Runjia Yang and Beining Shi},
  journal= {arXiv preprint arXiv:2401.00001},
  year   = {2024}
}
R2 v1 2026-06-28T14:04:49.091Z