Tag: value (Page 1 of 7)
Factor timing doesn't require extreme accuracy, but finiding a model that has that accuracy may be difficult. Diversifying is often the best approach.
We explore the Barclays Shiller CAPE sector rotation strategy, a value strategy whose recent success may have far less to do with value than it seems.
We explore the impact of timing luck using a systematic equity value strategy example and find significant variations in annualized returns.
We use a measure of credit curve steepness as a valuation signal for timing exposure between corporate bonds and U.S. Treasuries.
Re-specifying the Fama French 3-Factor Model
By Nathan Faber
On December 16, 2019