Factor Timing with Portfolio Characteristics

Kagkadis, Anastasios and Nolte, Ingmar and Nolte, Sandra and Vasilas, Nikolas (2024) Factor Timing with Portfolio Characteristics. Review of Asset Pricing Studies, 14 (1). pp. 84-118. ISSN 2045-9920

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Abstract

In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction techniques are employed to independently reduce the number of both predictors and portfolios to predict. Characteristic-based models outperform existing methods in terms of exact predictability, as well as investment performance.

Item Type:
Journal Article
Journal or Publication Title:
Review of Asset Pricing Studies
ID Code:
189694
Deposited By:
Deposited On:
24 Mar 2023 14:40
Refereed?:
Yes
Published?:
Published
Last Modified:
13 Jul 2024 01:52