Regime-Aware Interpretable Ranking for Sector Rotation
Sector rotation is a common decision in benchmark-relative portfolio management, where portfolio managers rank sectors for overweight and underweight positions. We formulate this task as ranking sector actions by expected future risk-adjusted active performance, measured with forward sector-benchmark Sharpe ratios. Such rankings should preserve temporal information, express model outputs through economically familiar signal characteristics, account for changes in signal relevance across macroeconomic environments, and capture dependencies among sectors. We propose RegimeRank, an interpretable sector-ranking model that represents fundamental and technical signals through expert-defined tem...
| Authors | Kelvin J. L. Koa, Ziling Liu, Xinyang Li et al. |
|---|---|
| Primary category | q-fin.PM |
| Published | 19 October 2026 |
| Last updated at source | 19 October 2026 |
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