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Abstract
In this article, the authors define defensive factor timing as proactively using market signals—measures of aggregate risk tolerance, the effectiveness of diversification, and valuation measures—to reduce exposures to individual factors or a portfolio of factors when outlooks are unattractive. Unlike other market timing applications, defensive factor timing is done infrequently with an aim to preserve capital during bad times. The authors illustrate how these signals can be applied in a macro factor setting.
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