Market conditions change over the course of the business cycle. When are investors
compensated to take risk? And what type of risk? This article proposes a practical regime …

This study developed an investment framework to implement dynamic factor rotation
strategies according to changes in economic conditions. I constructed a useful macro …

In this empirical study, we provide evidence on how predictive information can be utilized to
profitably allocate a cross-asset factor portfolio, covering various well-known factors over the …

This article investigates forecasts of long-term volatility for the fast-growing field of long–
short factor strategies in an extensive in-sample and out-of-sample framework. The author …

We diversify an investment portfolio across macroeconomic factors that are mimicked by
investable asset classes and style factors. Using a century of global data we analyze the …

Most of the crucial information needed to assess economic conditions comes with too great
a lag to make opportune investment decisions. Key growth and inflation data are often …