Daily Archives: Mar 15, 2019 at 06:45 am EDT

Research Review | 15 March 2019 | Nowcasting

Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals
Olivier Blin (Unigestion), et al.
10 September 2018
Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of allocation across a diversified range of cross-asset alternative risk premia over the period 1990-2018. For this, we design an active (macro risk-based) allocation framework that notably aims to exploit alternative risk premia’s varying behavior in different macro regimes and their valuations over time. We perform backtests of the allocation strategy in an out-of-sample setting, shedding light on the significance of both sources of information.
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Macro Briefing: 15 March 2019

Shootings at two New Zealand mosques claim 49 lives: BBC
N. Korea is considering lifting ban on missile and nuclear tests: Reuters
Israel launches military attack on Gaza after rockets fired at Tel Aviv: USA Today
Senate rebukes Trump by voting against border emergency declaration: Reuters
Economists cut US growth estimates sharply in new survey: WSJ
New home sales in US fell 6.9% in January: CNBC
US import prices increased 0.6% in Feb, but fell 1.3% over past 12 months: MW
US jobless claims rose to 1-month high last week: MW