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Factor Timing with Portfolio Characteristics

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Factor Timing with Portfolio Characteristics. / Kagkadis, Anastasios; Nolte, Ingmar; Nolte, Sandra et al.
In: Review of Asset Pricing Studies, Vol. 14, No. 1, 31.03.2024, p. 84-118.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

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Kagkadis A, Nolte I, Nolte S, Vasilas N. Factor Timing with Portfolio Characteristics. Review of Asset Pricing Studies. 2024 Mar 31;14(1):84-118. Epub 2023 Jun 6. doi: 10.1093/rapstu/raad010

Author

Kagkadis, Anastasios ; Nolte, Ingmar ; Nolte, Sandra et al. / Factor Timing with Portfolio Characteristics. In: Review of Asset Pricing Studies. 2024 ; Vol. 14, No. 1. pp. 84-118.

Bibtex

@article{8c07226091df4a1eb5a49671cc427bcb,
title = "Factor Timing with Portfolio Characteristics",
abstract = "In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction techniques are employed to independently reduce the number of both predictors and portfolios to predict. Characteristic-based models outperform existing methods in terms of exact predictability, as well as investment performance.",
author = "Anastasios Kagkadis and Ingmar Nolte and Sandra Nolte and Nikolas Vasilas",
year = "2023",
month = jun,
day = "6",
doi = "10.1093/rapstu/raad010",
language = "English",
volume = "14",
pages = "84--118",
journal = "Review of Asset Pricing Studies",
issn = "2045-9920",
publisher = "Oxford University Press (OUP)",
number = "1",

}

RIS

TY - JOUR

T1 - Factor Timing with Portfolio Characteristics

AU - Kagkadis, Anastasios

AU - Nolte, Ingmar

AU - Nolte, Sandra

AU - Vasilas, Nikolas

PY - 2023/6/6

Y1 - 2023/6/6

N2 - In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction techniques are employed to independently reduce the number of both predictors and portfolios to predict. Characteristic-based models outperform existing methods in terms of exact predictability, as well as investment performance.

AB - In a factor timing context, academic research has focused on identifying a set of predictors that can explain the dynamics of factor portfolios. We propose an alternative approach for timing factor portfolio returns by exploiting the information from their portfolio characteristics. Different combinations of dimension reduction techniques are employed to independently reduce the number of both predictors and portfolios to predict. Characteristic-based models outperform existing methods in terms of exact predictability, as well as investment performance.

U2 - 10.1093/rapstu/raad010

DO - 10.1093/rapstu/raad010

M3 - Journal article

VL - 14

SP - 84

EP - 118

JO - Review of Asset Pricing Studies

JF - Review of Asset Pricing Studies

SN - 2045-9920

IS - 1

ER -