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Figure 2a
Relative Performance For The Sector Top Dogs—Selected Global Markets, Average Of 12 Sectors, By Country, 1982-2011
Sectors
Panel A.
RELATIVE RETURN BY COUNTRY, AVG, ALL SECTORS
Panel B.
FREQUENCY OF WIN BY COUNTRY, AVG, ALL SECTORs
1 Yr 3 Yr 5 Yr 10 Yr 1 Yr
3 Yr
5 Yr
10 Yr
Average, 8 Countries -5.3% -5.0% -4.8% -5.1% 44% 42% 39% 34%
Standard Dev 7.5% 6.6% 6.4% 7.2% 8.7% 12.3% 14.3% 22.1%
Adj. t-Statistic -2.44 -2.62 -2.60 -2.45 -2.46 -2.30 -2.66 -2.47
australia -4.8% -4.1% -4.1% -5.8% 48% 47% 48% 37%
Canada -10.6% -11.1% -10.9% -11.5% 40% 36% 28% 19%
France -6.7% -6.2% -5.7% -6.2% 42% 41% 38% 34%
Germany -2.3% -2.2% -2.3% -2.3% 47% 46% 44% 45%
Italy -3.0% -2.7% -3.6% -3.8% 48% 45% 43% 36%
Japan -7.7% -6.3% -4.9% -4.9% 38% 39% 35% 29%
United Kingdom -3.1% -3.2% -3.3% -3.7% 45% 47% 44% 41%
United States -3.5% -4.2% -3.6% -2.8% 43% 34% 33% 33%
Source: Research Affiliates
Note: We use SIC codes to define the 12 sectors. These definitions may vary from the GICS definitions.
Figure 2b
Relative Performance For The Sector Top Dogs—Selected Global Markets, Average Of 8 Countries, By Sector, 1982-2011
Sectors
No.
of
top
dogs
Panel A. Relative Return vs Sector,
average across countries
1 Yr 3 Yr 5 Yr 10 Yr 1 Yr
3 Yr
5 Yr
10 Yr
Source: Research Affiliates. The individual results, country by country, are available upon request.
Note: We use SIC codes to define the 12 sectors. These definitions may vary from the GICS definitions.
Panel B. Frequency of Win vs Sector,
average across countries
Average, All Sectors 3.7 -5.3% -5.0% -4.8% -5.1% 44% 42% 39% 34%
Nondurables 3.9 -3.9% -2.5% -1.5% -1.0% 43% 46% 48% 46%
Durables 3.0 -7.9% -6.8% -6.1% -6.5% 40% 34% 34% 26%
Manufacturing 4.9 -5.8% -7.3% -7.2% -7.3% 39% 36% 28% 21%
Energy 2.1 1.0% -0.4% -0.9% -1.9% 51% 48% 48% 43%
Chemicals 2.5 -2.5% -3.0% -3.6% -4.7% 44% 46% 44% 36%
Bus Equip 5.8 -12.2% -12.4% -12.5% -12.0% 43% 38% 35% 32%
Telecom 3.3 -6.1% -6.6% -6.5% -8.5% 48% 42% 34% 19%
Utilities 3.1 -4.1% -3.3% -3.3% -4.7% 43% 43% 37% 31%
Shops 3.1 -4.6% -4.1% -3.8% -4.2% 45% 42% 41% 36%
Health Care 3.5 -5.5% -5.5% -4.8% -4.7% 43% 40% 40% 39%
Finance 4.1 -4.1% -3.1% -3.5% -2.8% 45% 45% 39% 42%
Other 5.1 -7.0% -5.2% -4.2% -3.1% 41% 42% 41% 36%
over the 30-year sample period, ranges from just over 2
percent per year in Germany to an astonishing 11.5 percent
in Canada. On a 10-year basis, sector top dogs underperform
their equal-weighted sectors by a whopping 5.1 percent per
year, on average, across 12 sectors and eight countries. The
odds of sector top dogs outperforming their sector, over a
subsequent 10-year span, are not promising—ranging from
45 percent in Germany to a horrific 19 percent in Canada. In
all G-8 countries, over all four time spans—with no exceptions—the
average sector top dog underperformed the
competition in its sector, from 1982 to 2011. This is not to
say that this performance shortfall occurs in every starting
year, or in every sector for all countries. But on average over
time, these results are rather overwhelming, with all eight
t-statistics comfortably significant.
An alternative way to look at this is to average across
all eight countries for each of the 12 sectors. Figure 2b
shows the same average results as Figure 2a, of course.
As we observed in the United States, in most sectors and
in most countries, the top company changes with some
regularity. The average sector, in the average G-8 country,
has seen anywhere between two and six top dogs,
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November / December 2012