Do factors carry information about the economic cycle? - Part 2

Institutional investors often pose the question of how factors perform across economic cycles. The concept of a normalized cycle has come under pressure in the post-Global Financial Crisis (GFC) era that has seen sustained quantitative easing, financial repression and lower trend growth.

Consequently, this has necessitated a reappraisal of the traditional investment clock. In this paper, we focus on the new thinking, rebooting the investment clock to link factor behavior to secular regime shifts in the US market.

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