Brocato and Steed (1998) showed that portfolio rebalancing based on NBER business cycle turning points substantially improves in-sample Markowitz efficiency. In a similar vein, we investigate potential improvements from rebalancing based on turning points in the monetary cycle. We find that the...

Ample evidence shows that size and book-to-market equity explain significant cross-sectional variation in stock returns, whereas betas contribution is minimal or nonexistent. Recent studies also demonstrate that proxies for monetary stringency increase the explained variation in stock returns....