@article {Miller46, author = {Keith L. Miller and Hong Li and Tiffany G. Zhou and Daniel Giamouridis}, title = {A Risk-Oriented Model for Factor Timing Decisions}, volume = {41}, number = {3}, pages = {46--58}, year = {2015}, doi = {10.3905/jpm.2015.41.3.046}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Alpha factors are built to perform well over time, on average. There are instances when they do not, and knowing these instances ex ante can be a significant source of added value for investors. The authors argue that factor failure is a function of its broad risk, and propose appropriate variables to measure it. They adopt a nonparametric model that predicts instances of likely factor failure, based on these variables, demonstrating that an implementable dynamic strategy based on our analysis generates a reward-to-risk ratio approximately four times that of a static approach, and about one and a half times that of an alternative dynamic approach based on momentum.TOPICS: Factor-based models, risk management}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/41/3/46}, eprint = {https://jpm.pm-research.com/content/41/3/46.full.pdf}, journal = {The Journal of Portfolio Management} }