Gallagher, David R; Gardner, Peter A; Schmidt, Camille H - In: Australian Journal of Management 40 (2015) 2, pp. 318-350
This study develops a style rotation model based on quarterly forecasts of style factor (SF) returns, across four style categories, generated using market and macroeconomic data. The prescriptions from this model are tested on a sample of US active equity mutual funds’ portfolio holdings....