Click to login and read the full article.
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
EMEA: +44 0207 139 1600
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.
- © 2017 Pageant Media Ltd
Don’t have access? Click here to request a demo
Alternatively, Call a member of the team to discuss membership options
US and Overseas: +1 646-931-9045
UK: 0207 139 1600
Log in using your username and password
In this issue
Jump to section
Similar Articles
Cited By...
- Factors with Style
- Waiting for the Next Factor Wave: Daily Rebalancing around Market Cycle Transitions
- Different in Nature, Common in Style: View Commonality of Single Hedge Funds and Funds of Hedge Funds
- ESG in Factors
- Harvesting Macroeconomic Risk Premia
- Business Cycle-Related Timing of Alternative Risk Premia Strategies
- Dynamic Strategy Migration and the Evolution of Risk Premia
- Focused Value
- Portfolio Scoring by Expected Risk Premium
- Defensive Factor Timing
- Implementation Matters: Relaxing Constraints Can Improve the Potential Returns of Factor Strategies
- Model Portfolios
- Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies