Summary
The video explores the comparison between factor rotation and equal allocation among factors, emphasizing the effectiveness of the latter. It discusses the calculation of equated NAV and compares the performance of equated strategy and factor rotation through various rolling return periods. Statistical tests like the paired t-test are used to determine differences in strategies, showcasing the superiority of factor allocation over factor timing against the Nifty 200 Index. The analysis points out key assumptions made, including the use of index data and factors influencing backtesting results.
Introduction to Factor Rotation
Exploring the concept of factor rotation and why it may not be as beneficial as equal allocation among factors.
Equal Allocation Strategy
Discussing how equal allocation among factors can work better than factor timing and the calculation of equated NAV.
Comparison of Rolling Returns
Comparing the performance of equated strategy and factor rotation through 3-year, 5-year, and 7-year rolling returns.
Statistical Testing
Explaining the use of statistical tests like the paired t-test to determine the differences between rolling return strategies.
Comparison with Nifty 200 Index
Analyzing the performance of the strategies against the Nifty 200 Index and establishing the superiority of factor allocation.
Assumptions and Limitations
Highlighting the assumptions made in the analysis, including the use of index data and factors affecting backtesting results.
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