本文將NBER(National Bureau of Economic Research)劃分下美國最新三個完整經濟週期作爲研究期間，以Fama-French分類下49個行業的股票平均月報酬率爲行業表現指標，使用幾乎隨機佔優進行了經濟週期下的行業輪動、行業輪動投資策略與大盤之比較、同一行業遵循經濟週期的表現變化規律三方面實證研究。實證發現，經濟週期下的行業輪動現象十分顯著，通過一階、二階幾乎隨機佔優篩選行業有效集，可清晰描繪經濟週期運行中，行業隨宏觀景氣變化而依序領先的輪動秩序。其次，行業輪動投資策略有效，以其構建的行業投資組合可具與大盤相當，甚至超越大盤的表現。最後，就GICS(Global Industry Classification Standard)分類下的一級行業而言，公共事業是唯一於一階幾乎隨機佔優下呈週期性的行業，二階幾乎隨機佔優下呈週期性的行業則有可選消費品、基礎原材料、公共事業、能源、資訊技術、通訊。

This paper applies almost stochastic dominance to examine if sector rotation over business cycles exists and investors using it as a top-down approach can outperform the market. Employing monthly returns of Fama-French 49 industry portfolios in last three US business cycles defined by the National Bureau of Economic Research (NBER) and almost stochastic dominance to derive industry efficient sets, the results show that, different industries take performance leadership in different business cycle stages, portfolios consisting of efficient industries can almost stochastically dominate the S&P 500 Index at first- and second-order, or, at least, generate equal performance, depending on the phase of business cycle, which indicates that sector rotation is obvious and sector rotation strategy is viable. This paper also utilizes almost stochastic dominance to investigate variation in performance across business cycles of 11 sectors classified by the Global Industry Classification Standard (GICS). The findings are that, under first-order almost stochastic dominance, utilities is the only sector with cyclicality of stock price, while under second-order almost stochastic dominance, sectors with cyclicality of stock price include consumer discretionary, materials, utilities, energy, information technology, and telecommunication services.

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