Joan Lee

Unigestion

8c, avenue de Champel CP 387

CP 387

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Switzerland

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Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Number of pages: 27 Posted: 28 Sep 2018 Last Revised: 16 Nov 2018
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Unigestion SA, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Unigestion and Unigestion
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Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation