Flirting with Models

The Research Library of Newfound Research

Tag: factor rotation

Macro and Momentum Factor Rotation

We explore the application of macro-economic and momentum-based quantitative signals to factor rotation and find little evidence of robustness.

Factor Rotation: Possible, but Worth It?

Can factor rotation strategies time the ebb and flow of factor returns to create excess return and avoid drag? If they can, is it worth it?
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