TY - JOUR T1 - Factor-Timing Model JF - The Journal of Portfolio Management SP - 75 LP - 87 DO - 10.3905/jpm.2012.39.1.075 VL - 39 IS - 1 AU - Ronald Hua AU - Dmitri Kantsyrev AU - Edward Qian Y1 - 2012/10/31 UR - https://pm-research.com/content/39/1/75.abstract N2 - In this article, the authors propose a novel framework for building a factor-timing model. They introduce the concept of Akaike’s information criterion for selecting conditioning variables and evaluating various factor-timing specifications. Balancing the tradeoff between in-sample precision and complexity of the problem is the central theme of the considered methodology. In addition, the authors show how to employ information ratio quantities to track improvements in the resulting model efficacy and quantify sources of added value of factor-timing models over traditional static models.TOPICS: Portfolio construction, analysis of individual factors/risk premia, factor-based models ER -