文档介绍：Dynamic Asset Allocation Using Systematic Sector Rotation
Paolo Sassetti and Massimiliano Tani
December 2003
Abstract: This paper uses the insight that the posing the economy perform
differently and (to a certain extent) independently one another over the
phases of the economic cycle to explore the existence of investment rules
capable of exploiting such dynamics and over-perform market returns. The
analysis uses three simple market-timing techniques on 41 funds of the
Fidelity Select Sector family over the period January 1998-September
2003. The results indicate that each technique can exploit the path–
dependency of the returns across sectors, and consistently over-perform the
return of a buy-and-hold strategy. It is hoped that these results will
encourage investors, investment managers, and academics to further
investigate some of the heuristic models essfully used by practitioners.
Key Words: Capital market efficiency, portfolio theory.
Dr Massimiliano Tani Dr Paolo Sassetti
School of Economics and Management Rivista Aiaf (Review of
University of New South Wales at the the Italian Financial Analysts)
Australian Defence Force Academy Member of the Scientific
Northcott mittee
Campbell ACT 2606 Via Pertini, 32,
Australia 20040 Carnate (Milano) Italy
Tel.: + 61 2 6268 8512 Tel.: +39 039 6076137
Fax: + 61 2 6268 8450 Mobile: +39 328 3131671
E-mail: m.******@ E-mail: p.******@
1
1 Introduction
The financial markets’ downturn of the period 2000-2002 has tested a number of
investment strategies, and raised (again) the question on whether one can devise a
rule, if at all, to achieve returns above market indices whilst protecting the capital
invested. The results obtained by investment funds during 2000-2002 suggest that
passive and semi-passive investment strategies can not protect investors against the
negative effect of a pro