Strategies · Core
Momentum Factor and Style Rotation
Rotate among style sleeves (value, growth, quality, size) using the momentum of the styles themselves.
Definition
Treat each style ETF or factor portfolio as an asset. Rank on trailing return, hold the hot styles, drop the cold. Monthly. This is factor momentum, not stock momentum.
Why it matters
Styles trend. A rotation rule is how an allocator expresses that without 500 names.
Case
2020 growth → 2022 value. A 12-month style mom rule is late at the turn and still better than a static 50/50 some years.
How to read it
Which styles, lookback, and whether you allow a cash state. Factor mom crashes at style reversals — size it.
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