We investigate the dynamics of investment styles of Islamic equity funds (IEFs), mainly
through portfolio holdings. We rely on an unbiased survivorship sample of 224 active …

This paper examines the relative performance of small-caps vs. large caps surrounding
periods of peaks and troughs of economic activity, and reexamines the relationship between …

This study constructs active Islamic portfolios using a multi-style rotation strategy, derived
from the three prominent styles, namely, momentum, value, and quality investing. We use …

The objective of this article is to examine whether short-term variation in the ranking of size
and style index returns in the UK equity market is better predictable and exploitable by …

There is ample evidence that factor momentum exists in the standard long–short mixed
approach to factor investing. However, the excess returns are put under scrutiny due to the …

This study developed and tested a stock return prediction model called the Growth Value
Two-Factor Model (GVM). The proposed GVM considers beginning and ending book value …

Alpha factors are built to perform well over time, on average. There are instances when they
do not, and knowing these instances ex ante can be a significant source of added value for …

Russell style indexes exhibit significant momentum, particularly after medium term out-and
underperformance. The existence of this momentum produces a diversified, index-based …

The time-varying nature of the firm size effect has been the subject of growing interest,
particularly in the aftermath of the recent financial crisis. Small-cap firms provide a significant …

This article analyses the extent of the excess returns that can be generated within the
European markets by rotating one's portfolio between value and growth stocks. Academic …