A New Approach to Regime Detection and Factor Timing
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A New Approach to Regime Detection and Factor Timing
The financial research literature has found that the performance of assets (and factors) can vary substantially across regimes - factor premiums can be regime dependent. Unfortunately, the real-time identification of the current economic regime is one of the biggest challenges in finance. A New Approach to Regime Detection and Factor Timing was originally published at Alpha Architect. Please read the Alpha Architect disclosures at your conveni…
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