EAA Piloting Quarterly Sector Rotation With C(r)ash Protection

This post will cover a detailed look into quarterly sector investing using the EAA-model previously introduced (see here). For the sector investor Fidelity is the place to be. Currently Fidelity offers 46 sector mutual funds. Lots of these funds have at least 21 years of historical prices available. Those are the ones collected in the universe under investigation in this post to allow for comparability with prior backtests.

Fidelity Sector Select Universe

The above stated data history requirement is met by 34 from the 46 available sector funds. With these 34 funds not only 10 economical sectors plus precious metals are covered, but it also ensures for a well diversified basket to select investments from.

In the above table funds are sorted on sectors. Furthermore the performance of each fund over 1995 - 2014 is shown and broken down into the average yearly return (R), the fund's volatility (V) and the worst draw down (D) during those 20 years.