Fanggang Yan (Royce)

Disclaimer: Views in this blog do not promote, and are not directly connected to any L&G product or service. Views are from a range of L&G investment professionals, may be specific to an author’s particular investment region or desk, and do not necessarily reflect the views of L&G. For investment professionals only.

Fanggang is a Factor Analyst who joined the Index Solutions team at the beginning of 2024. He holds an MSc in Financial Modelling and Optimisation with distinction from the School of Mathematics, University of Edinburgh, preceding his BSc in Physics with a minor degree in Financial Mathematics credited by Fudan University. Prior to joining L&G's Asset Management business, he held multiple intern roles specialising in option pricing and reinforcement learning trading strategy development.

Rolling the dice on rebalancing: a hidden risk in momentum strategies

The timing of rebalancing can cause meaningful differences in momentum strategy performance. We model the effects of this phenomenon and suggest practical solutions for investors looking to avoid uncompensated risk.

4 min read

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Rolling the dice on rebalancing: a hidden risk in momentum strategies

Shichen Zhao

Peter Finn

Elisa Piscopiello

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