Showing 1 - 10 of 143 results for 'Factor Timing'

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Perspective

Factor Timing is Hard

We continue to ruin the fun for those who think contrarian factor timing is easy and that current factor valuations are extreme. Our evidence points to the contrary.

Perspective

Going Deep on Contrarian Factor Timing

We studied all the interesting things that happen when some stocks, or other assets, get deeply cheap while others get deeply expensive, and learn more about value investing and how timing works when increasing breadth of comparisons.

Journal Article

Contrarian Factor Timing is Deceptively Difficult

The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors and fears of imminent mean-reversion and underperformance.

Journal Article

The Siren Song of Factor Timing, aka “Smart Beta Timing,” aka “Style Timing”

Often the first question after an initial discussion of factors is “Okay, what’s the current outlook?” And the common answer, “The same as usual,” is often unsatisfying.

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

Perspective

Resisting the Siren Song of Factor Timing

It seems that now everyone wants to time factors. In his JPM editorial piece, Cliff argues that investors should resist this siren song.

Perspective

My Factor Philippic

Cliff critiques Arnott, et. al. (2016) and emprically shows why one should be wary of agressive factor timing. Instead, investors should identify factors they believe in, and stay diversified across them, unless valuations get far more extreme

Journal Article

Market Timing: Sin a Little

Is market timing an easy source of added value or a sin to be avoided? We examine the evidence and find that adding a dose of momentum is a practical way to enhance value timing strategies. Investors may benefit from a modest amount of market timing.

Alternative Thinking

Style Premia / Bond Returns

We review how style premia have historically generated attractive long-run returns in virtually every place we have studied them, and may help reduce risk through better diversification. We then look at fixed income returns in different environments

Working Paper

One Reason Not to Avoid Market Timing

Market timing should be undertaken only to the extent an investor feels his skills overcome the hurdles.