RT Journal Article
SR Electronic
T1 Factor Timing with Cross-Sectional and Time-Series Predictors
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 30
OP 43
DO 10.3905/jpm.2017.44.1.030
VO 44
IS 1
A1 Hodges, Philip
A1 Hogan, Ked
A1 Peterson, Justin R.
A1 Ang, Andrew
YR 2017
UL http://jpm.pm-research.com/content/44/1/30.abstract
AB 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.