التفاصيل البيبلوغرافية
العنوان: |
A Risk-Oriented Model for Factor Timing Decisions |
المؤلفون: |
Miller, Keith L. |
المساهمون: |
Li, Hong (Sonstige beteiligte Personen); Zhou, Tiffany (Sonstige beteiligte Personen); Giamouridis, Daniel (Sonstige beteiligte Personen) |
المصدر: |
2013 |
الناشر: |
[S.l.]: SSRN |
اللغة: |
English |
نوع الوثيقة: |
Elektronische Ressource im Fernzugriff |
Manifestation: |
Monographie [unabhängig ob Stück einer Reihe] |
مستخلص: |
Alpha factors are built to perform well over time, on average. There are instances when they do not, and knowing these instances ex ante can be a significant source of added value for investors. We argue that factor failure is a function of its broad risk and propose appropriate variables to measure it. We adopt a nonparametric model that predicts instances of likely factor failure based on these variables. We show that an implementable dynamic strategy based on our analysis generates a risk/reward ratio approximately three times that of a static approach and about one and a half times that of an alternative dynamic approach based on momentum |
DOI: |
10.2139/ssrn.2159301 |
رقم الأكسشن: |
EDSZBW1792640536 |
قاعدة البيانات: |
ECONIS |