US Tactical Factor Rotation Solutions

Research shows that the majority of a portfolio’s returns can be explained by a handful of factors; the market, size, style, sector and momentum. Individual stock picking accounts for only a small percentage. Our Tactical Factor Rotation model efficiently captures returns to these factors by:

• Determining where we are in the business cycle.
• Understanding what drives returns to factors at each point in the cycle.
• Tactically allocating to these factors when the risk adjusted returns are favorable.

The model is based on almost 50 years of data covering seven recessions – Professor Ken French has done a lot of the heavy lifting by publishing detailed return data for various factors going back  to 1926, giving us the ability to test ideas over long time periods, not just the most recent cycle.

The model revolves around our proprietary business cycle classification system and identification and measurement of the key variables impacting future returns. Markets behave differently depending on where we are in the business cycle and our framework has mapped out how these variables correlate with future performance of the five factors at each stage of the business cycle.

This model can be implemented in two separate solutions, or as one combined solution.

US Long Tactical Long Solution #2

US Market Timing Model #6

• US Market Timing Strategy additional Q&A

US Tactical Long Model with Market Timing #7