RT Journal Article
SR Electronic
T1 Factor-Timing Model
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 75
OP 87
DO 10.3905/jpm.2012.39.1.075
VO 39
IS 1
A1 Ronald Hua
A1 Dmitri Kantsyrev
A1 Edward Qian
YR 2012
UL https://pm-research.com/content/39/1/75.abstract
AB 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