indices in the UK equity market is predictable and exploitable by means of active style rotation strategies. Using a set of … recursive dynamic modelling approach (logit model) to predict the direction of the style index return spreads. Our style … rotation strategies are based on small-capitalisation, large-capitalisation, value and growth segments of the market, using the …

‐selection model that can be described as a long‐flat (or synthetic protective put) equity strategy with a momentum‐based style‐rotation … innovation is the demonstration of the efficacy of a style‐rotation strategy, in contrast to the more typical sector …

-selection model that can be described as a long-flat (or synthetic protective put) equity strategy with a momentum-based style-rotation … innovation is the demonstration of the efficacy of a style-rotation strategy, in contrast to the more typical sector …