Momentum-managed equity factors

Arbeitspapier

Managed portfolios that exploit positive first-order autocorrelation in monthly excess returns of equity factor portfolios produce large alphas and gains in Sharpe ratios. We document this finding for factor portfolios formed on the broad market, size, value, momentum, investment, profitability, and volatility. The value-added induced by factor management via short-term momentum is a robust empirical phenomenon that survives transaction costs and carries over to multi-factor portfolios. The novel strategy established in this work compares favorably to well-known timing strategies that employ e.g. factor volatility or factor valuation. For the majority of factors, our strategies appear successful especially in recessions and times of crisis.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SAFE Working Paper ; No. 317

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Forecasting and Simulation
• Thema: factor timing ; time series momentum ; anomalies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Flögel, Volker ; Schlag, Christian ; Zunft, Claudia
• Ereignis: Veröffentlichung
• (wer): Leibniz Institute for Financial Research SAFE
• (wo): Frankfurt a. M.
• (wann): 2021

Weitere Informationen

• DOI: doi:10.2139/ssrn.3423287
• Handle: http://hdl.handle.net/10419/235864
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ