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This study presents an analytical approach to sector rotation, leveragingboth factor models and fundamental metrics. We initiate with a systematicclassification of sectors, followed by an empirical investigation into theirreturns. Through factor analysis, the paper underscores the significance ofmomentum and short-term reversion in dictating sectoral shifts. A subsequentin-depth fundamental analysis evaluates metrics such as PE, PB, EV-to-EBITDA,Dividend Yield, among others. Our primary contribution lies in developing apredictive framework based on these fundamental indicators. The constructedmodels, post rigorous training, exhibit noteworthy predictive capabilities. Thefindings furnish a nuanced understanding of sector rotation strategies, withimplications for asset management and portfolio construction in the financialdomain.

Sector Rotation by Factor Model and Fundamental Analysis