Not logged in.

Contribution Details

Type Journal Article
Scope Discipline-based scholarship
Title Fama–French Factor Timing: The Long-Only Integrated Approach
Organization Unit
Authors
  • Markus Leippold
  • Roger Rüegg
Item Subtype Original Work
Refereed Yes
Status Published in final form
Language
  • English
Journal Title European financial management
Publisher Wiley-Blackwell Publishing, Inc.
Geographical Reach international
ISSN 1354-7798
Volume 27
Number 4
Page Range 666 - 700
Date 2021
Abstract Text There is ample evidence that factor momentum exists in the standard long--short mixed approach to factor investing. However, the excess returns are put under scrutiny due to the high implementation costs. We present a novel real-life approach that relies on the long-only integrated approach to factor investing. Instead of exploiting the potential momentum in factor portfolios, our strategy builds on the momentum of the optimal factor score weights in the integrated approach, which allows us to additionally profit from the serial dependence in the factors' interaction effects. One limitation of short-term timing strategies is their high turnover. By including the information of the covariance matrix and minimizing the strategy’s risk to the market portfolio, we can substantially reduce turnover. The resulting timing alpha remains significant even after transaction costs in a robust statistical test framework across the major stock markets.
Related URLs
Digital Object Identifier 10.1111/eufm.12285
Other Identification Number merlin-id:19739
PDF File Download from ZORA
Export BibTeX
EP3 XML (ZORA)