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A Risk-Oriented Model for Factor Timing Decisions

Keith L. Miller, Hong Li, Tiffany G. Zhou and Daniel Giamouridis
The Journal of Portfolio Management Spring 2015, 41 (3) 46-58; DOI: https://doi.org/10.3905/jpm.2015.41.3.046
Keith L. Miller
is former managing director for global quantitative research at Citigroup in New York, NY.
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Hong Li
is managing director for equity quantitative strategy at Citi in New York, NY.
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  • For correspondence: hong.li@citi.com
Tiffany G. Zhou
is vice president for equity quantitative strategy at Citi in New York, NY.
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  • For correspondence: tiffany.zhou@citi.com
Daniel Giamouridis
is an associate professor in the department of accounting and finance at Athens University of Economics and Business in Athens, Greece; a senior visiting fellow in the faculty of finance at Cass Business School in London, U.K.; a visiting researcher in the department of accounting and finance at LUMS in Lancaster, U.K.; and a research associate at EDHEC-Risk Institute in Nice, France.
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  • For correspondence: dgiamour@aueb.gr
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Abstract

Alpha factors are built to perform well over time, on average. There are instances when they do not, and knowing these instances ex ante can be a significant source of added value for investors. The authors argue that factor failure is a function of its broad risk, and propose appropriate variables to measure it. They adopt a nonparametric model that predicts instances of likely factor failure, based on these variables, demonstrating that an implementable dynamic strategy based on our analysis generates a reward-to-risk ratio approximately four times that of a static approach, and about one and a half times that of an alternative dynamic approach based on momentum.

TOPICS: Factor-based models, risk management

  • © 2015 Pageant Media Ltd
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The Journal of Portfolio Management: 41 (3)
The Journal of Portfolio Management
Vol. 41, Issue 3
Spring 2015
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A Risk-Oriented Model for Factor Timing Decisions
Keith L. Miller, Hong Li, Tiffany G. Zhou, Daniel Giamouridis
The Journal of Portfolio Management Apr 2015, 41 (3) 46-58; DOI: 10.3905/jpm.2015.41.3.046

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A Risk-Oriented Model for Factor Timing Decisions
Keith L. Miller, Hong Li, Tiffany G. Zhou, Daniel Giamouridis
The Journal of Portfolio Management Apr 2015, 41 (3) 46-58; DOI: 10.3905/jpm.2015.41.3.046
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  • Article
    • Abstract
    • BACKGROUND ON MULTIPLE ALPHA MODELING AND FACTOR WEIGHTING
    • DYNAMIC FACTOR-WEIGHTING MODELS
    • EMPIRICAL ANALYSIS
    • ADDITIONAL RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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