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.
Regional and global factor momentum signals outperform local factors in forecasting risk premiums and revitalize momentum investing in less-integrated markets like Japan.