Sector rotation is one of the more popular applications of momentum. The following chart using the eleven Morningstar equity sectors will be featured in my new book on momentum investing
The equal weight portfolio shows higher returns than the S&P 500 due to mean reversion profits from rebalancing and equal, rather than capitalization, weighting across sectors. The results of both relative and absolute momentum are better than this. They have similar rates of return, but absolute momentum has less volatility and much lower drawdowns, even though relative momentum is more popular than absolute momentum. As expected, dual momentum shows the very best performance. My new book will have more about this. Dual Momentum Sector Rotation (DMSR) performance will be updated monthly on the Performance page of our website.