The author asks whether style diversification retains its arguable pretax benefits when
considering taxes. First, he reviews the two generic arguments–market timing and manger …

This article examines the composition of style-diversified portfolios and the influence of
institutional trading on style performance over the period 1979 to 2004. We employ a …

Four investment “styles”—Value, Momentum, Carry, and Defensive—have emerged as
compelling sources of alternative returns, backed by economic theory and decades of data …

We explore the effectiveness of rebalancing approaches by examining the performance of
both time-based and various asset-level-based triggers using equally weighted portfolios …

Recent academic literature claims that style premia are not robust to trading costs. Several
papers written by practitioners counter that the assumptions made by academics on how …

Successful investing requires translating sound investment concepts into actual trading
strategies. The authors study many implementation details that portfolio managers should …

We provide evidence that most results from traditional return-based style analysis are
inconsistent and too dynamic to be used in a meaningful way (see Sharpe [1988, 1992]). We …

Understanding the Intersection Between Style Exposure, Sector Rotation, and the Business
Cycle | Financial Planning Association Skip to main content Accessibility Main Menu Financial …

Most literature on time diversification focuses on the risks of stocks versus bonds. Little
attention has been given to the impact of time horizon on the risks for value versus growth …

Differences in performance have been especially dramatic in recent years. For example, the
Wilshire Large Company Growth Index returned 42% in 1998, 36% iti 1999, and-25% in …