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US Sector Rotation with Five-Factor Fama-French Alphas

blog.edarchimbaud.com

US Sector Rotation with Five-Factor Fama-French Alphas

edarchimbaud
Sep 9, 2023
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US Sector Rotation with Five-Factor Fama-French Alphas

blog.edarchimbaud.com
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Original paper

SSRN-id2987819.pdf

Trading rules

  • Investment universe consists of 10 Fama-French US sector portfolios

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