Adaptive macro factor timing model | I3investor

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Adaptive macro factor timing model

StockFanatic

Publish date: Wed, 19 Jun 2013, 12:15 PM

Asia Pacific Region

Quantitative Research

As different stock-picking strategies become more (or less) relevant over time based on the market environment and the risk preference of investors, we introduce a framework that rotates through the alpha and risk factors as signalled by the regime of the macro factors.

Our adaptive macro factor timing model currently favours small-cap stocks with high value characteristics like dividend yield, sales yield and forward earnings yield. These factors are favoured by the active regimes of 20 different macro factors covering interest rate, commodity prices, currencies, economic indicators and market trends.

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