Factor Investing & Factor Timing
Methods for selecting, timing, and combining factors when the zoo is crowded, the cross-section is noisy, and estimation error dominates.
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2 min read
Methods for selecting, timing, and combining factors when the zoo is crowded, the cross-section is noisy, and estimation error dominates.
We show that the between-sector component of 146 equity factors is subsumed by industry momentum exposure. Sector-neutral sorting improves average Sharpe ratios from 0.544 to 0.610 …