Tactical factor allocation for multifactor portfolios
- 주제(키워드) 도움말 Tactical asset allocation , factor investing , time series momentum , factor timing
- 발행기관 ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
- 발행년도 2021
- 총서유형 Journal
- 본문언어 영어
초록/요약 도움말
Factor investing comprises selecting the set of factors and the right amount of each factor for investment. While past research provides a better guidance on which factors to invest, deciding the right factor allocation has remained relatively elusive. Motivated by the superior performance provided by the equal-weighted strategy compared to the more sophisticated ones, we choose the former as the baseline or the strategic allocation scheme for factor investing and investigate if improvements can be established. Specifically, exploiting the momentum property exhibited by the factors, we propose a simple tactical factor allocation scheme for the equity-based multifactor portfolios. Empirical results reveal that the proposed tactical factor allocation outperforms the strategic one persistently over time and pervasively across different markets.
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