Dynamic Factor Allocation Leveraging Regime-Switching Signals
Portfolio optimization in equities, studied by Shu and Mulvey in 2024 with a state-space model. The abstract mentions a Sharpe ratio, an information ratio and drawdowns but not a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Empirical results show that the constructed multi-factor portfolio significantly improves the information ratio (IR) relative to the market, raising it from just 0.05 for the EW benchmark to approximately 0.4.”
AssetEquities
StrategyPortfolio optimizationfactor investing
TechniqueState-space model
GeographyUS
Also stated: Sharpe ratio, Information ratio, Drawdown, Long-short, Long-only
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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