Quarterly sector momentum strategy
Do FTSE 350 sectors display a quarterly momentum behaviour that can be exploited?
This analysis updates the performance of two strategies, defined as:
- Strong sector momentum strategy (Strong SMS): The portfolio comprises just one FTSE 350 sector, that being the sector with the strongest performance in the previous quarter. So at the end of each quarter, the portfolio is liquidated and a 100% holding is established in the strongest sector of the quarter just finished. This is held for three months (one quarter), before the portfolio is liquidated and re-invested in the new sector. Therefore the strategy will trade four times a year.
- Weak sector momentum strategy (Weak SMS): As above, but in this case it is ...