Analisis Sectorial

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Dalamar
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Analisis Sectorial

Mensajepor Dalamar » 19 Abr 2014 09:40

La fuerza o debilidad relativa de los sectores nos da pistas de si estamos en maximos o no?
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Sectoriales3.png
Sectoriales2.png
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Re: Analisis Sectorial

Mensajepor Dalamar » 08 Ene 2015 07:35

Un estudio tremendamente interesante sobre analisis sectorial y asset allocation:

Using a strategy based on the principles of intermarket analysis, we find that this assertion is not entirely accurate. The Utilities sector has many unique characteristics relative to other sectors of the broader stock market, including its higher yield, lower beta, and relative insensitivity to cyclical behavior. Our analysis suggests that rolling outperformance in the sector is not only exploitable, but also provides important signals about market volatility, seasonality, and extreme market movement. We explore historical price behavior and create a simple buy and rotate strategy that is continuously exposed to equities, positioning into either the broad market or the Utilities sector based on lead-lag dynamics. Absolute performance and risk-adjusted returns for this beta rotation approach significantly outperform a buy and hold strategy of the market and of the Utilities sector throughout multiple market cycles.
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SSRN-id2417974.pdf
(410.25 KiB) Descargado 25 veces
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Re: Analisis Sectorial

Mensajepor Dalamar » 23 Jul 2015 19:56

Retorno por sector frente al inversor medio!
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Sectores.png
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