The Quant Cycle
传统商业周期指标无法捕捉因子收益的大幅波动，作者从因子收益中推断出一个量化周期，包含正常阶段、价值因子回撤及后续反转，并区分了牛熊市中的不同子类型。
Traditional business cycle indicators do not capture much of the large cyclical variation in factor returns. Major turning points of factors seem to be caused by abrupt changes in investor sentiment instead. The author infers a quant cycle directly from factor returns, which consists of a normal stage that is interrupted by occasional drawdowns of the value factor and subsequent reversals. Value factor drawdowns can occur in bullish environments due to growth rallies and in bearish environments due to crashes of value stocks. For the reversals, the author also distinguishes between bullish and bearish subvariants. Empirically, he shows that his simple three-stage model captures a considerable amount of time variation in factor returns. The author concludes that investors should focus on better understanding the quant cycle as implied by factors themselves, rather than adhering to traditional frameworks that, at best, have a weak relation with actual factor returns.