Factor Timing with Cross-Sectional and Time-Series Predictors
研究在不同经济体制和市场条件下，哪些预测因子能帮助投资者选择价值、规模、动量等智能贝塔策略，发现组合多个预测因子比单独使用更有效。
What smart beta strategy should investors use and when? The authors search for predictors of value, size, momentum, quality, and minimum-volatility smart beta factors under different economic regimes and market conditions. They find that combining information from several predictors such as business cycle indicators, valuation, relative strength, and dispersion metrics is more effective than using individual predictors. <b>TOPIC:</b>Analysis of individual factors/risk premia