Diversification all the Way Down: Multifactor Investing Within Factors, Across Factors and Across Time
“Third, across time: the timing overlay adds a modest improvement, generating an information ratio of 1.92 versus 1.83 for static weights over the last three years, at essentially no cost over the full 21 years (1.00 vs. 0.99).”
StrategyFactor investing
ClaimInformation ratio
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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