Industry Rotation Analysis

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Many academic papers have documented existence of industry momentum effect. Do a search in Google Scholar.

From my readings and past research, I found that industry momentum is in fact relatively more robust than individual stocks momentum. The effect is even stronger for industries which are more homogenous, i.e. the stocks are driven more by common industry factor than company specific factor. These include commodity stocks, financial stocks, utilities etc. Biotech is definitely not a homogenous industry.

Industry rotation analysis attempts to see what industries are leading, emerging, and lagging.

Discussion

One thought on “Industry Rotation Analysis

  1. Sir: W/ respect to your sector/industry rotation ideas,you might want to visit http://www.relativerotationgraphs.com.They are doing very interesting work which is currently available to Bloomberg subscribers in beta.Hope this is helpful.JKV

    Posted by JON | February 15, 2012, 12:55 pm

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