Fama–French factor timing: The long‐only integrated approach
提出一种纯多头综合因子择时策略，利用因子得分权重的动量而非因子组合动量，结合协方差矩阵降低换手率，在扣除交易成本后仍能获得显著超额收益。
Abstract There is ample evidence that factor momentum exists in the standard long–short mixed approach to factor investing. However, the excess returns are put under scrutiny due to the high implementation costs. We present a novel real‐life approach that relies on the long‐only integrated approach to factor investing. Instead of exploiting the potential momentum in factor portfolios, our strategy builds on the momentum of the optimal factor score weights in the integrated approach, which allows us to additionally profit from the serial dependence in the factors' interaction effects. One limitation of short‐term timing strategies is their high turnover. By including the information of the covariance matrix and minimising the strategy's risk to the market portfolio, we can substantially reduce turnover. The resulting timing alpha remains significant even after transaction costs in a robust statistical test framework across the major stock markets.