Daily Archives: Sep 20, 2019 at 06:57 am EDT

Research Review | 20 September 2019 | Factor Investing

Momentum with Volatility Timing
Yulia Malitskaia (VKY Analytics)
July 9, 2019
The growing adoption of factor investing simultaneously prompted the active topic of factor timing approaches for the dynamic allocation of multi-factor portfolios. The trend represents a natural development of filling the gap between passive and active management. The paper addresses this direction by introducing the volatility-timed winners approach that applies past volatilities as a timing predictor to mitigate momentum factor underperformance for time intervals spanning the market downturn and post-crisis period. The proposed approach was confirmed with Spearman rank correlation and demonstrated in relation to different strategies including momentum volatility scaling, risk-based asset allocation, time series momentum and MSCI momentum indexes. The corresponding analysis generalized existing volatility scaling strategies and brought together the two branches of the smart-beta domain, factor investing and risk-based asset allocation.
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Macro Briefing | 20 September 2019

Iran threatens “all-out-war” if US attacks in reponse to Saudi attacks: WaPo
Oil on track for 7% gain this week in the wake of Saudi attacks: Reuters
FedEx pilot arrested in China, raising tension with US: CNN
US is temporarily exempting hundreds of Chinese products from tariffs: CNBC
World growth is “fragile,” says incoming ECB President Christine Lagarde: MW
US Leading Economic Index steady in August after strong gain in July: CB
US jobless claims continue to point to healthy labor market: CNBC
Philly Fed’s mfg index: moderately strong growth rate in Sep: Philly Fed
US existing home sales rose to highest level in over a year in Aug: Bloomberg