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Stratégie de portefeuille
Sommaire
Notre stratégie de rotation sectorielle tactique permet aux investisseurs
particuliers et professionnels de profiter du cycle économique avec les ETF ;
Cette stratégie améliore les rendements ajustés au risque, maintient une faible
rotation du portefeuille et une diversification minimale du portefeuille ;
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Introduction
Les gestionnaires de portefeuille sont toujours à la recherche de stratégies pour
maximiser les rendements tout en contrôlant le risque de baisse de leurs
portefeuilles. Les FNB sont parfaits pour obtenir une exposition à divers marchés et
secteurs tout en maintenant la diversification et en réduisant les risques spécifiques.
Nous avons conçu une stratégie de rotation de secteur tactique simple mais efficace
en utilisant neuf ETF que tout le monde peut mettre en œuvre.
Cette stratégie basée sur des règles investit dans des ETF de différents secteurs, en
fonction des phases du cycle économique. L'approche d'investissement implique de
passer de certains secteurs à d'autres après avoir atteint des critères quantitatifs
précis sur un indicateur macroéconomique. Il a été backtesté pendant plus de 30 ans
et a enregistré plus de 17% de rendement annualisé (brut de frais) pour cette
période.
Cet article fait suite à notre article très populaire : « Cette stratégie de rotation
sectorielle fait 17 % chaque année depuis 1991 ». Nous couvrirons les
performances de la stratégie depuis que nous l'avons révélée. Nous reviendrons
également sur certains aspects de l'indicateur économique avancé derrière la
stratégie pour répondre aux questions précédentes et modifier un graphique
théorique publié dans l'article original.
Performance
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En octobre 2020, notre stratégie est passée à une nouvelle phase du cycle
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économique : la phase précoce, définie par la croissance de la production
économique et des bénéfices des entreprises. Sur la base de résultats empiriques,
nous avons estimé que trois secteurs surperformeraient : l'énergie, la finance et
l'industrie. Passons en revue la performance relative de chaque secteur ainsi que la
performance de la stratégie.
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Parmi les cycliques, les financières ont nettement surperformé. L'année dernière, les
financières ont affiché les
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valorisations les moins chères malgré les importants plans
de relance monétaire/budgétaire approuvés par plusieurs gouvernements pour
atténuer le ralentissement économique. Le déploiement du vaccin, la réouverture des
économies et la flambée des rendements obligataires à 10 ans ont également
entraîné une augmentation des attentes de croissance. Nous avons discuté plus en
détail des finances dans un autre article : " XLF : les finances sont de retour dans
le style ».
Les secteurs défensifs ont sous-performé au cours du premier trimestre 2021. Ces
secteurs n'ont pas attiré beaucoup d'investisseurs car ils se sont concentrés sur les
secteurs bénéficiant de la reprise économique mondiale. Les principaux vents
contraires pour ces trois secteurs demeurent la crainte de taux d'inflation élevés et la
hausse des rendements obligataires.
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Alors que la confiance dans une reprise augmentait, le secteur de l'énergie a rebondi
après sa vente massive et a été le secteur le plus performant au premier trimestre.
Le pétrole brut a augmenté de manière significative car la reprise des activités
commerciales a créé une demande refoulée. Quant au secteur de la technologie, il a
été le plus performant en 2020. Cependant, il a pris du retard au premier trimestre
avec la vente liée aux taux.
The first quarter of 2021 was good for all sectors. Even the worst-performing ones
remained in positive territory. The three sectors recommended by our Tactical Sector
Rotation Strategy were on top of the list. As such, this year is continuing the early
phase, which started last November.
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Source: Factor-Based
Since last November, when the phase switch occurred, the return of the Tactical
Sector Rotation Strategy is a massive 55.0% compared to 28.9% for the S&P 500.
The portfolio is outperforming since the start of this early phase, and the relative
performance has been widening recently.
Source: Factor-Based
Calendar Returns
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Source: Factor-Based
Performance Statistics
Source: Factor-Based
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Although each business cycle is unique and the performance among sectors varies,
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themselves. Over the medium term, business cycles
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sector patterns tend to repeat
define equity performance. Therefore, outperforming the market can be achieved
during all business cycles, assuming investors can incorporate a business cycle
signal into a sector rotation framework.
As explained in our previous article, we use the Leading Economic Indicator (LEI)
time series from the Conference Board to proxy the business cycle. We determined
that the LEI year-over-year fluctuate between a top of 7% and a bottom of -3%. Over
the last 60 years, there is no single instance where the LEI year-over-year failed to
touch any of those two boundaries.
When studying the LEI, we split the business cycle into five different phases, as
shown on the amended theoretical chart below. Our approach seeks to identify the
illustrated turning points (black dots) as the LEI tends to change before the overall
economy. We then match each phase with the sectors that are most likely to
outperform in that segment of the business cycle.
Source: Factor-Based
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Let's take a look at the leading economic indicator itself. The LEI year-over-year in
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strategy assumed that the economy was in the recovery
September was -3.8%. Our
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phase. In October, the LEI year-over-year recorded -2.8%, which crossed the -3%
lower bound and started increasing, triggering the start of the early phase. In that
phase, we identified with past business cycles that financials, energy, and industrials
tend to outperform. Below is a detailed depiction of how the strategy switched phases
since July 2019.
Simply put, we are using the upper and lower boundaries (7% or -3%) and the
change of direction to call the sector rotation. You will also notice the purple vertical
bars in the above chart are lagging the actual turning points. We are using the signal
from the previous month to invest. Otherwise, the strategy would be flawed with a
look-ahead bias.
The LEI year-over-year has been in an upward trend since October 2020 and
crossed the 7% upper limit in March 2021 (7.9%), then reached a new high in April
(15.3%). Once the trend starts decreasing in the coming months, the economy will
switch to the late phase. This phase is characterized by a slowdown of economic
output and corporate earnings. When that time comes, we will call for another set of
sectors to outperform for that phase.
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Timing is Key
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Data drives each investment decision behind our strategy. We believe that the use of
a leading indicator to help define the business cycle is helpful in finding when to buy
and sell sector ETFs. The key for a successful investment strategy is determining the
appropriate time to invest and find the best-performing instruments for that period.
Quantitative strategies don't let emotions or opinions bias the decision-making
process. The decision is left to the facts reached from our analysis and empirical
evidence.
Benefits
While the performance of this strategy is compelling, we will cite some of the main
benefits or incentives of using our Tactical Sector Rotating Strategy:
Low portfolio turnover: Only a few changes are made per year. Therefore,
investors benefit from low transaction costs and higher tax efficiency.
Low concentration: The strategy invests in 2-3 sectors in each phase of the
business cycle. Each of those sectors are constituted of many industries.
Risks
To have a clear understanding of this investment strategy, we present below the main
challenges or risks of our Tactical Sector Rotating Strategy.
Conclusion
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Our Tactical Sector Rotation Strategy seizes opportunities within the business cycle
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portfolio. Retail investors can use it as a stand-alone
and can add value to your
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For those interested in learning more about our Tactical Sector Rotation, a full
presentation is available on our website. In our next article, we will discuss more
extensively when we expect the move from the early phase to the late phase and
prepare you for the next sector rotation opportunity.
François Soto is Factor-Based Asset Management’s President and Portfolio Manager. He is leading the
investment process for various model portfolio strategies while also overseeing equity research. Before
creating the firm, François accumulated 15 years of experience working for various financial institutions.
François holds a MBA degree specializing in Finance from HEC Montreal (2011) and is a CFA charterholder
(2016), a FRM charterholder (2010) and a CIM charterholder (2010).
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Divulgation : je suis/nous sommes long XLF, XLE, XLI. J'ai écrit cet article moi-même, et il
exprime mes propres opinions. Je ne reçois aucune compensation pour cela. Je n'ai aucune
relation d'affaires avec une entreprise dont les actions sont mentionnées dans cet article.
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