Factor Timing with Cross-Sectional and Time-Series Predictors

What smart beta strategy should investors use and when? The authors search for predictors of value, size, momentum, quality, and minimum-volatility smart beta factors under different economic regimes and market conditions. They find that combining information from several predictors such as business...

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Bibliographic Details
Published inJournal of portfolio management Vol. 44; no. 1; pp. 30 - 43
Main Authors Hodges, Philip, Hogan, Ked, Peterson, Justin R., Ang, Andrew
Format Journal Article
LanguageEnglish
Published London Pageant Media 01.10.2017
Subjects
Business cycles
Economic conditions
Economic growth
Economic indicators
Equity
Growth stocks
Investments
Quality
Recessions
Standard deviation
Stock exchanges
Third party
Time series
Valuation
Value stocks
Volatility
United States > US
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Summary:What smart beta strategy should investors use and when? The authors search for predictors of value, size, momentum, quality, and minimum-volatility smart beta factors under different economic regimes and market conditions. They find that combining information from several predictors such as business cycle indicators, valuation, relative strength, and dispersion metrics is more effective than using individual predictors.
ISSN:0095-4918
2168-8656
DOI:10.3905/jpm.2017.44.1.030