Global Tactical Sector Allocation: A QuantitativeApproach
研究了1970至2008年全球10个行业指数的七种变量，发现动量、盈利修正和五月卖出策略有显著收益，而货币政策和估值指标无效，组合策略年回报9.9%。
Doeswijk and vanVliet examine seven variables for global tactical sector allocation (GTSA) purposes. They construct 10 global sector indices over the extended sample period from 1970 to 2008, enabling them to test previously documented variables on a global basis and to examine whether they continued to work after their publication dates. Doeswijk and van Vliet document significant returns for the following strategies: momentum (1-month and 12–1 month), earnings revisions, and sell-in-May seasonal, also after their publication dates. By contrast, monetary policy and valuation (mean reversion and dividend yield) fail to predict global sector returns. The authors’ out-of-sample tests reveal an average decay in performance of about one-third. A long–short GTSA strategy that combines momentum with seasonal has an annual success ratio of 82% and delivers a compounded annual return of 9.9% after transaction costs. The authors believe that a global sector allocation study with such a long sample period and with such a broad range of variables has not been conducted before. <b>TOPICS:</b>Portfolio construction, accounting and ratio analysis