PT  - JOURNAL ARTICLE
AU  - Kristin Fergis
AU  - Katelyn Gallagher
AU  - Philip Hodges
AU  - Ked Hogan
TI  - Defensive Factor Timing
AID  - 10.3905/jpm.2019.45.3.050
DP  - 2019 Feb 28
TA  - The Journal of Portfolio Management
PG  - 50--68
VI  - 45
IP  - 3
4099  - https://pm-research.com/content/45/3/50.short
4100  - https://pm-research.com/content/45/3/50.full
AB  - 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.TOPICS: In markets, portfolio management/multi-asset allocation, analysis of individual factors/risk premia, risk management