Regime-Aware Factor Allocation with Optimal Feature Selection
Bosancic, Nie and Mulvey (2024) study factor investing in equities using a state-space model. The abstract mentions excess returns and a benchmark but not an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Through empirical analysis, we demonstrate the efficacy of our framework over 6 key characteristic-based factors derived from Fama-French research portfolios: quality, value, growth, big, small, and momentum.”
AssetEquities
StrategyFactor investingmomentum
TechniqueState-space modellinear factor model
GeographyEurope
Also stated: Annual, Excess return, Long-only, benchmark
Missing from abstract: out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodFactor investing by year
FamilyFactor investing240Momentum and trend following289Machine learning return prediction153News sentiment and text signals14818 more · 854
AssetEquities196
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
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