The Promises and Pitfalls of Factor Timing
回顾了因子择时的历史表现，指出其依赖预测因子和投资期限，同时强调数据挖掘和时变因果关系等陷阱，但认为边际上仍可创造价值。
The potential to dynamically allocate across factors, or <i>factor timing</i>, has been an area of academic and practitioner research for decades. In this article, the authors revisit the promises of factor timing, documenting the historical linkages between equity factor performance and different groupings of predictors: sentiment, valuation, trend, economic conditions, and financial conditions. The authors highlight that different predictors are more relevant for certain horizons, so the horizon is critical in factor timing. They also argue there are significant pitfalls with factor timing as well. The difficulty of timing factors has been well documented, given the uncertainty of exogenous elements affecting their behavior and the complexity of the underlying relationships. Most importantly, the underlying causal links are time varying. In addition, these relationships are observed with the benefit of hindsight and thus suffer from the age-old problem of data mining. Despite these caveats, the authors believe that at the margin it is possible to time certain elements that can add value and improve outcomes. <b>TOPIC:</b>Factor-based models