FYI: Arnav Sheth and Tee Lim contribute to the literature on the performance of factor-based investment strategies through their December 2017 study, “Fama-French Factors and Business Cycles.”
In it, they examined the behavior of six Fama-French factors—market beta (MKT), size (SMB), value (HML), momentum (MOM), investment (CMA) and profitability (RMW)—across business cycles, splitting the business cycles into four separate stages: recession, early-stage recovery, late-stage recovery and very-late-stage recovery.
The recession stage used in the study is the same as defined by the National Bureau of Economic Research (NBER); early-stage recovery is defined as up to 24 months after the recession stage; late-stage recovery is defined as up to 24 months after early-stage recovery; and very-late-stage recovery is the entire period after late stage recovery but before the next recession.
Regards,
Ted
http://www.etf.com/sections/index-investor-corner/swedroe-23?nopaging=1
