RT Journal Article
SR Electronic
T1 Defensive Factor Timing
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 50
OP 68
DO 10.3905/jpm.2019.45.3.050
VO 45
IS 3
A1 Kristin Fergis
A1 Katelyn Gallagher
A1 Philip Hodges
A1 Ked Hogan
YR 2019
UL https://pm-research.com/content/45/3/50.abstract
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