FYI: Systematic value strategies have struggled in the post-2008 environment, so one that has performed well catches our eye.
The Barclays Shiller CAPE sector rotation strategy – a value-based sector rotation strategy – has out-performed the S&P 500 by 267 basis points annualized since it launched in 2012.
The strategy applies a unique Relative CAPE metric to account for structural differences in sector valuations as well as a momentum filter that seeks to avoid “value traps.”
In an effort to derive the source of out-performance, we explore various other valuation metrics and model specifications.
We find that what has actually driven performance in the past may have little to do with value at all
Regards,
Ted
https://blog.thinknewfound.com/2019/08/es-cape-velocity-value-driven-sector-rotation/
