In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five-factor model fits better the returns of US sector portfolios than the three factor model, but that...

In this paper we investigate the risk-adjusted performance of US sector portfolios and sector rotation strategy using the alphas from the Fama-French five factor model. We find that five factor model fits better the returns of US sector portfolios than the three factor model, but that...

Fama-French/Carhart alphas of passive indices should be zero, but the recent empirical evidence shows otherwise. We propose an optimisation algorithm that makes minor adjustments to the time series for the market, size, value and momentum factors, which ensures zero alpha for a self-designated...

In this study we estimate the survival time of momentum in six UK style portfolios' returns in the period October 1980–June 2014. We utilise the Kaplan-Meier estimator, a non-parametric method that measures the probability that momentum will persist beyond the present month. This probability...

The paper examines the asymmetries in size, value and momentum premium over the economic cycles in the UK and their macroeconomic determinants. Using Markov switching approach we find clear evidence of cyclical variations of the three premiums, most noticeably variations in size premium. We...

The paper examines the asymmetries in size, value and momentum premiums over the economic cycles in the UK and their macroeconomic determinants. Using Markov switching approach we find clear evidence of cyclical variations of the three premiums, most noticeably variations in size premium. We...

This paper performs comparative analysis of the asymmetries in size, value and momentum premium and their macroeconomic determinants over the UK economic cycles, using Markov switching approach. We associate Markov switching regime 1 with economic upturn and regime 2 with economic downturn. We...