Bright Sun Asset Management. Nigel Anderson Mattias Lundahl Jakob Midander So Sugiyama. Outline. Introduction Methodology Factors Results Dynamic weights model. Introduction. A stock selection model for large cap, US equities Limit to three factors Long and short positions
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Nigel AndersonMattias LundahlJakob MidanderSo Sugiyama
Yield Curve Shape is based on US Govt. 10y – 1y
(1 month lagged)