General design Q: Should I use an Enum value as a factory?

So in Java 5.0 we have the typesafe enums. I am just starting to learn them. I basically have a schedule of recurring events that have a series of rules to determine when the event recurs... There are only a few types of rules:
ByMonth, ByWeek, ByDay ...
Each of these enumerated values has a class associated with it that defines the rule (and is used to check to see if a particular day fills the requirenments for the rule).
So my thoughts were: what is the best means of generating an instance of the Rule?
1) Have a single RuleFactory class that switches on the RecurType enum value
     //... in some factory class...
     switch(recurType)
          case RecurRuleType.ByMonth : return new ByMonthRecurRule();
          case RecurRuleType.ByDay     : return new ByDayRecurRule();
          //...2) Define a factory method inside of the enum that does the job
public enum RecurRuleType {
     ByDay { RecurRule getNewRule() { return new ByDayRecurRule(); } },
     ByMonth { RecurRule getNewRule() { return new ByMonthRecurRule(); } };
     abstract RecurRule getNewRule();
}Or does it make no difference?

I would go with the second one. Much easier to
document.Thanks. I was worried that maybe dispersing the creation like that might be a programming no-no. It does have the benefit that if I want to add more enum values, I don't then have to go and change a factory class as well as the enum...

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