Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/235864 
Year of Publication: 
2021
Series/Report no.: 
SAFE Working Paper No. 317
Publisher: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Abstract: 
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.
Subjects: 
factor timing
time series momentum
anomalies
JEL: 
G12
G17
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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