PT  - JOURNAL ARTICLE
AU  - James Chong
AU  - G. Michael Phillips
TI  - Sector Rotation with Macroeconomic Factors
AID  - 10.3905/jwm.2015.18.1.054
DP  - 2015 Apr 30
TA  - The Journal of Wealth Management
PG  - 54--68
VI  - 18
IP  - 1
4099  - https://pm-research.com/content/18/1/54.short
4100  - https://pm-research.com/content/18/1/54.full
AB  - Implementing sector rotation strategies with a set of low-frequency economic measures, the authors construct long-only sector exchange traded fund (ETF) portfolios that respond differently to the economy via alternative optimization methods, such as mean–variance and low-volatility allocations. These economic-based portfolios, when assessed against the S&P 500 Index and the equal-weighted ETF portfolio, performed relatively well in absolute and relative terms, for the whole period as well as subperiods. This study sheds further light on the effectiveness of economic factors when applied to investment strategies.TOPICS: Exchange-traded funds and applications, analysis of individual factors/risk premia, performance measurement