مورد إلكتروني
A Risk-Oriented Model for Factor Timing Decisions
| 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 |
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