• Medientyp: E-Book
  • Titel: Time-Varying Factor Allocation
  • Beteiligte: Vincenz, Stefan [Verfasser:in]; Zeissler, Tom Oskar Karl [Verfasser:in]
  • Erschienen: [S.l.]: SSRN, [2022]
  • Umfang: 1 Online-Ressource (63 p)
  • Sprache: Englisch
  • DOI: 10.2139/ssrn.3924346
  • Identifikator:
  • Schlagwörter: factor investing ; factor allocation ; factor timing ; factor tilting ; multi-asset ; return predictability ; market indicators ; macroeconomic indicators ; asset management
  • Entstehung:
  • Anmerkungen: Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 15, 2021 erstellt
  • Beschreibung: In this empirical study, we provide evidence on how predictive information can be utilized to profitably allocate a cross-asset factor portfolio, covering various well-known factors over the asset classes equity, commodity, fixed income, and foreign exchange. We investigate the performance of a meaningful set of predictors, which we broadly divide into macro and market indicators. Our analysis shows that tilting a global factor portfolio according to signals derived from business cycle indicators, inflation, and short-term interest rates, among other predictors, significantly outperforms a static factor benchmark. The established results are based on practical considerations, survive conservative transaction cost assumptions, and are validated over an extensive out-of-sample period. In sum, we highlight the potential benefits of an asset-allocation framework conditioned on predictive variables, but caution to time factors on a standalone basis
  • Zugangsstatus: Freier Zugang