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Article

Factor Timing with Cross-Sectional and Time-Series Predictors

Philip Hodges, Ked Hogan, Justin R. Peterson and Andrew Ang
The Journal of Portfolio Management Fall 2017, 44 (1) 30-43; DOI: https://doi.org/10.3905/jpm.2017.44.1.030
Philip Hodges
is a managing director at BlackRock, Inc., in San Francisco, CA
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Ked Hogan
is a managing director at BlackRock, Inc., in San Francisco, CA
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Justin R. Peterson
is a vice president at BlackRock, Inc., in San Francisco, CA
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Andrew Ang
is a managing director at BlackRock, Inc., in New York, NY
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Abstract

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.

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The Journal of Portfolio Management: 44 (1)
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Factor Timing with Cross-Sectional and Time-Series Predictors
Philip Hodges, Ked Hogan, Justin R. Peterson, Andrew Ang
The Journal of Portfolio Management Oct 2017, 44 (1) 30-43; DOI: 10.3905/jpm.2017.44.1.030

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Factor Timing with Cross-Sectional and Time-Series Predictors
Philip Hodges, Ked Hogan, Justin R. Peterson, Andrew Ang
The Journal of Portfolio Management Oct 2017, 44 (1) 30-43; DOI: 10.3905/jpm.2017.44.1.030
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  • The State of Play for Popular Investment Models: A Practical Assessment
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