Work

High-Definition Style Rotation

Year: 1996

Type: article

Abstract: That various “styles” of stocks perform differently suggests a strategy of rotating a portfolio’s allocations across styles — growth, value, large-cap, and small — in line with changes in the economic environment. The issue then is how to define style. A “high-definition” approach looks at many stock attributes to disentangle the effects of each. Because the approach results in a detailed map of returns to stock attributes, it offers potential to provide better returns than those of naive style rotation strategies.

Source: The Journal of Investing

DOI: 10.3905/joi.1996.408405

Authors: Bruce I. Jacobs, Kenneth N. Levy

Institutions: Jacobs Levy Equity Management, Carnegie Mellon University, Columbia University, Cornell University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2067897559

FWCI: 0.798

Cites:

Cited by: 14

Related to: 10