Flirting with Models

The Research Library of Newfound Research

Tag: factor rotation

Macro and Momentum Factor Rotation

We explore macro- and momentum-driven factor rotation of U.S. equity factors. These methods may not offer much benefit over naïve, equal-weight approach.

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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