TY - JOUR T1 - A Risk-Oriented Model for Factor Timing Decisions JF - The Journal of Portfolio Management SP - 46 LP - 58 DO - 10.3905/jpm.2015.41.3.046 VL - 41 IS - 3 AU - Keith L. Miller AU - Hong Li AU - Tiffany G. Zhou AU - Daniel Giamouridis Y1 - 2015/04/30 UR - https://pm-research.com/content/41/3/46.abstract N2 - 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. The authors argue that factor failure is a function of its broad risk, and propose appropriate variables to measure it. They adopt a nonparametric model that predicts instances of likely factor failure, based on these variables, demonstrating that an implementable dynamic strategy based on our analysis generates a reward-to-risk ratio approximately four times that of a static approach, and about one and a half times that of an alternative dynamic approach based on momentum.TOPICS: Factor-based models, risk management ER -