PT  - JOURNAL ARTICLE
AU  - Mario Levis
AU  - Manolis Liodakis
TI  - The Profitability of Style Rotation Strategies in the United Kingdom
AID  - 10.3905/jpm.1999.319770
DP  - 1999 Oct 31
TA  - The Journal of Portfolio Management
PG  - 73--86
VI  - 26
IP  - 1
4099  - https://pm-research.com/content/26/1/73.short
4100  - https://pm-research.com/content/26/1/73.full
AB  - The authors investigate the profitability of size and value/growth rotation strategies in the United Kingdom over the last thirty years after adjusting for various levels of forecasting skills and transaction costs. Furthermore, the authors link the size and the value/growth style spreads with a number of business cycle variables, and assess trading rules built upon their ex ante predictions. Their findings provide strong support for small versus large, but not value versus growth style rotation strategies.