Factor Timing Revisited
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Author | : Olivier Blin |
Publisher | : |
Total Pages | : 28 |
Release | : 2020 |
Genre | : |
ISBN | : |
Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of allocation across a diversified range of cross-asset alternative risk premia over the period 1990-2018. For this, we design an active (macro risk-based) allocation framework that notably aims to exploit alternative risk premia's varying behavior in different macro regimes and their valuations over time. We perform backtests of the allocation strategy in an out-of-sample setting, shedding light on the significance of both sources of information.
Author | : David Blitz |
Publisher | : |
Total Pages | : 22 |
Release | : 2015 |
Genre | : |
ISBN | : |
This paper takes another look at the recommendation of Blitz [2012] to allocate strategically to the value, momentum and low-volatility factor premiums in the equity market. Five years of fresh data shows that such a factor investing strategy continued to deliver out-of-sample. The potential added value of the two new factors in the Fama-French 5-factor model, operating profitability and investment, is investigated and found to depend critically on the performance metric that is considered most important. The paper also reviews the role of small-cap stocks, factor timing, long-only versus long-short portfolio construction, international evidence and factor investing beyond equities.
Author | : Farzin Barekat |
Publisher | : |
Total Pages | : 17 |
Release | : 2019 |
Genre | : |
ISBN | : |
In this paper we investigate when it makes sense for portfolio managers to implement factor timing in their quantitative investing, that is we outline necessary circumstances under which the benefits of factor timing (measured by the improvement in Sharpe ratio and the skewness of the returns) outweighs the challenges associated with development and implementation of factor timing. In particular, we mathematically show that factor timing for a single strategy does not yield substantial improvements unless either (1) the Sharpe ratio of the strategy is orders of magnitude different across states, or (2) the signal used for factor timing can accurately predict when the strategy will deliver negative returns (and the portfolio manager is willing to go short the strategy at that time). On the other hand, using simulation, we provide evidence that for a multi-factor portfolio (containing more than 10 factors) allocating risk based on instantaneous correlations between the factors at the beginning of each time period improves performance above the passive approach of allocating risk based on the long-term factor correlations.
Author | : Applied Research Press |
Publisher | : Createspace Independent Publishing Platform |
Total Pages | : 40 |
Release | : 2015-07-21 |
Genre | : |
ISBN | : 9781515168775 |
Nutrient timing is a popular nutritional strategy that involves the consumption of combinations of nutrients-primarily protein and carbohydrate-in and around an exercise session. Some have claimed that this approach can produce dramatic improvements in body composition. It has even been postulated that the timing of nutritional consumption may be more important than the absolute daily intake of nutrients. The post-exercise period is widely considered the most critical part of nutrient timing. Theoretically, consuming the proper ratio of nutrients during this time not only initiates the rebuilding of damaged muscle tissue and restoration of energy reserves, but it does so in a supercompensated fashion that enhances both body composition and exercise performance. Several researchers have made reference to an anabolic "window of opportunity" whereby a limited time exists after training to optimize training-related muscular adaptations. However, the importance - and even the existence - of a post-exercise 'window' can vary according to a number of factors. Not only is nutrient timing research open to question in terms of applicability, but recent evidence has directly challenged the classical view of the relevance of post-exercise nutritional intake with respect to anabolism. Therefore, the purpose of this paper will be twofold: 1) to review the existing literature on the effects of nutrient timing with respect to post-exercise muscular adaptations, and; 2) to draw relevant conclusions that allow practical, evidence-based nutritional recommendations to be made for maximizing the anabolic response to exercise. Proceeds from the sale of this book go to support an elderly disabled person.
Author | : Lorin W. Anderson |
Publisher | : Taylor & Francis |
Total Pages | : 271 |
Release | : 2023-05-31 |
Genre | : Technology & Engineering |
ISBN | : 1000940845 |
Inquiry, Data, and Understanding is a reflective collection of papers in which Lorin Anderson offers his personal perspective on developments in educational research over thirty years. Following an introductory chapter, in which educational research is defined as disciplined inquiry, the remaining chapters are divided into four sections: time and learning, factors influencing educational effectiveness, international perspectives, and the nature and purpose of educational research. Each section contains an introduction that places the chapters in that section in a historical and personal context. The fourth section, which concludes the book, summarises four lessons that were learned about becoming a researcher. Based on these lessons, the final chapter describes four needs that must be met if school and classroom research is to move forward: * The need for concept-based research * The need to put students back into the equation * The need to stop focusing on correlates of student achievement * The need for research on alterable variables.
Author | : Vasant Naik |
Publisher | : CFA Institute Research Foundation |
Total Pages | : 192 |
Release | : 2016-12-30 |
Genre | : Business & Economics |
ISBN | : 1944960155 |
Author | : Hugh W. Ellsaesser |
Publisher | : Paragon House Publishers |
Total Pages | : 456 |
Release | : 1992 |
Genre | : Medical |
ISBN | : |
Author | : Emmanuel Jurczenko |
Publisher | : Elsevier |
Total Pages | : 482 |
Release | : 2017-10-17 |
Genre | : Business & Economics |
ISBN | : 0081019645 |
This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing.The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing. A practical scope An extensive coverage and up-to-date researcch contributions Covers the topic of factor investing strategies which are increasingly popular amongst practitioners
Author | : Clifford Adelman |
Publisher | : |
Total Pages | : 232 |
Release | : 2006 |
Genre | : Education |
ISBN | : |
The Toolbox Revisited is a data essay that follows a nationally representative cohort of students from high school into postsecondary education, and asks what aspects of their formal schooling contribute to completing a bachelor's degree by their mid-20s. The universe of students is confined to those who attended a four-year college at any time, thus including students who started out in other types of institutions, particularly community colleges.
Author | : Oded Goldreich |
Publisher | : Springer Science & Business Media |
Total Pages | : 410 |
Release | : 2006-03-22 |
Genre | : Computers |
ISBN | : 3540328807 |
This volume commemorates Shimon Even, one of founding fathers of Computer Science in Israel, who passed away on May 1, 2004. This Festschrift contains research contributions, surveys and educational essays in theoretical computer science, written by former students and close collaborators of Shimon. The essays address natural computational problems and are accessible to most researchers in theoretical computer science.