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

Authors from the same team

Lee Collins

Lee was appointed Head of Index Fixed Income in L&G’s Asset Management division in 2017. Lee manages a number of fixed income index funds, focusing primarily on...

More about Lee

David Barron

David Barron, CFA, CAIA, is Global Head of Index & ETFs, L&G - Asset Management, America. In his role, he helps expand the firm's footprint of environmental, social, and...

More about David

Tamara Osei-Agyemang

Tamara is responsible for supporting the ETF Capital Markets function within L&G’s Asset Management division. Tamara joined the business in 2019 as an Analyst on the Investments Graduate programme and...

More about Tamara

Learn more about our business

We are one of the world's largest asset managers, with capabilities across asset classes to meet our clients' objectives and a longstanding commitment to responsible investing.

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

Lee Collins

David Barron

Tamara Osei-Agyemang

Recommended content for you

Learn more about our business

We are one of the world's largest asset managers, with capabilities across asset classes to meet our clients' objectives and a longstanding commitment to responsible investing.

Explore Trending topics

Sign up for blog email alerts

Receive the latest articles in a weekly digest by registering via the email preference centre

Categories

Other pages

Learn more

Teams