Sector Rotation in Times of Crises
研究了一种基于高波动信号在股票板块和国债之间轮换的策略，发现使用流动性强的板块ETF在1998至2020年间年均跑赢标普500指数6.6%，且在多次危机中表现更优。
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.