How do We Capture Long-Horizon Factor Timing? Measures and their Application to Hedge and Mutual Funds
Liu and Malakhov (2023) study factor investing. The abstract mentions an out-of-sample test but not a benchmark, transaction costs, multiple testing or the size of the universe.
“Building on Jensen (1972), we introduce a new measure of long-horizon timing activity, D_ALPHA, and compare it with extant timing measures.”
StrategyFactor investingmacro signals
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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