This study evaluates naïve and advanced prediction models when applied to style rotation strategies on the Johannesburg … threefold. First, style rotation strategies based on advanced predictors achieve superior risk-adjusted returns when compared to …-term momentum results in the highest share turnover across style rotation strategies, resulting in the largest negative impact …

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived from the three prominent …

The purpose of this paper is to investigate the dynamics and statistics of style rotation based on the Barberis …-Shleifer model of style switching. Investors in stocks regard the forecasting of style-relative performance, especially style … rotation, as highly desirable but difficult to achieve in practice. Whilst we do not claim to be able to do this in an …

new holdings-based measure of style rotation to investigate the relation between performance persistence and changes in … style rotation than middle deciles. Style inconsistent funds with high values for the style rotation measure in turn exhibit … portfolio management to consider style rotation when selecting managers based on past performance. …