TY  - UNPD
A1  - Flögel, Volker
A1  - Schlag, Christian
A1  - Zunft, Claudia
T1  - Momentum-managed equity factors
T2  - SAFE working paper ; No. 317
N2  - 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, prof- itability, 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.
T3  - SAFE working paper - 317 
KW  - factor timing
KW  - time series momentum
KW  - anomalies
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/61452
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-614525
IS  - This version: July 18, 2021
PB  - SAFE
CY  - Frankfurt am Main
ER  -