Does Active Stock Factor Timing/Tilting Work?
January 8, 2019 - Fundamental Valuation, Momentum Investing, Size Effect, Strategic Allocation, Value Premium
Does active stock factor exposure management boost overall portfolio performance? In their November 2018 paper entitled “Optimal Timing and Tilting of Equity Factors”, Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother and Patrick Vosskamp explore benefits for global stock portfolios of two types of active factor allocation: Factor timing – exploit factor premium time series predictability based on economic indicators and… Keep Reading