Equity-Style Timing: A Multi-Style Rotation Model for the Russell Large-Cap and Small-Cap Growth and Value Style Indexes

CFA Digest ◽  
2007 ◽  
Vol 37 (4) ◽  
pp. 76-77
Author(s):  
William A. Trent
Keyword(s):  
Style Rotation ◽  
Style Timing ◽  
Rotation Model

scholarly journals Equity-style timing: A multi-style rotation model for the Russell large-cap and small-cap growth and value style indexes

2007 ◽  
Vol 8 (1) ◽  
pp. 9-23 ◽  
Author(s):  
Bala G Arshanapalli ◽  
Lorne N Switzer ◽  
Karim Panju
Keyword(s):  
Style Rotation ◽  
Style Timing ◽  
Rotation Model

An in vitro rotation model composed of disposables for investigation of endothelialization of artificial vascular prostheses

2012 ◽  
Vol 60 (S 01) ◽  
Author(s):  
M Lescan ◽  
J Kobba ◽  
M Avci-Adali ◽  
B Neumann ◽  
N Perle ◽  
...  
Keyword(s):  
Vascular Prostheses ◽  
Rotation Model

Style Rotation Strategies: Issues of Implementation

2003 ◽  
Author(s):  
Mario Levis ◽  
Nicholas Tessaromatis
Keyword(s):  
Style Rotation

Equity Style Timing (corrected)

1999 ◽  
Vol 55 (1) ◽  
pp. 37-48 ◽  
Author(s):  
Duen-Li Kao ◽  
Robert D. Shumaker
Keyword(s):  
Style Timing

A Geometric Polarization Rotation Model for the 3-D Spatial Channel Model

2012 ◽  
Vol 60 (12) ◽  
pp. 5966-5977 ◽  
Author(s):  
Stephan Jaeckel ◽  
Kai Borner ◽  
Lars Thiele ◽  
Volker Jungnickel
Keyword(s):  
Channel Model ◽  
Polarization Rotation ◽  
Spatial Channel Model ◽  
Rotation Model

Style Timing with Insiders

2009 ◽  
Author(s):  
Heather S. Knewtson ◽  
Richard W. Sias ◽  
David A. Whidbee
Keyword(s):  
Style Timing

scholarly journals Application Of Tactical Style Allocation For Global Equity Portfolios

2012 ◽  
Vol 11 (7) ◽  
pp. 745
Author(s):  
Heng-Hsing Hsieh ◽  
Kathleen Hodnett ◽  
Paul Van Rensburg
Keyword(s):  
Financial Market ◽  
Weighted Least Squares ◽  
Sample Period ◽  
Value Stocks ◽  
Style Rotation ◽  
Out Of Sample ◽  
Study Support ◽  
Equity Portfolios ◽  
Investment Styles ◽  
Specific Timing

Our earlier study suggests that there exists specific timing for the two prominent investment styles, value and momentum. We extend our prior research to test and evaluate a tactical style allocation (TSA) model based on the weighted least squares (WLS) technique for global equities over the out-of-sample period from 1994 through 2008. Two TSA style-based portfolios are constructed in this research, namely, a portfolio with the risk-free proxy (cash component), the global momentum index and the global value index as its constituents, and a portfolio that is comprised of only the global momentum index and the global value index. The optimized portfolios based on the TSA model outperform the MSCI World Index, the global value index and the global momentum index on a risk-adjusted basis over the examination period. The cash component of the style-based portfolio appears to provide necessary protection during financial market crises. The results of our study support the use of the proposed TSA model to perform active style rotation between value stocks and momentum stocks for global equity portfolios.

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