Factor Timing with Portfolio Characteristics

Kagkadis, A ORCID: 0000-0002-3840-5981, Nolte, I, Nolte, S and Vasilas, N (2024) Factor Timing with Portfolio Characteristics Review of Asset Pricing Studies, 14 (1). pp. 84-118. ISSN 2045-9920, 2045-9939

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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. (JEL G10, G11, C52, C55)

Item Type:	Article
Uncontrolled Keywords:	38 Economics, 3502 Banking, Finance and Investment, 3801 Applied Economics, 35 Commerce, Management, Tourism and Services
Divisions:	Faculty of Humanities & Social Sciences Faculty of Humanities & Social Sciences > School of Management
Depositing User:	Symplectic Admin
Date Deposited:	31 Mar 2025 08:28
Last Modified:	28 Feb 2026 01:19
DOI:	10.1093/rapstu/raad010
Open Access URL:	https://academic.oup.com/raps/article/14/1/84/7191...
Related Websites:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3191089
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