Keywords: factor rotation, Markov switching, VIX, Fama French factors
학회소식
[2022년 5차 CAFM2022]Rational Factor Rotation
작성자 : 관리자
조회수 : 310
게시일 :
2022-12-20
We study a Factor Rotation investment strategy that provides a substantially higher annualized return than that of the aggregate market. We start by showing that the optimal investment strategy for rational investors is factor rotation. We then illustrate the impact on portfolio performance by an investment strategy of rotating positions in the Fama French factors using a Markov Switching model based upon the VIX. Performance can be further improved by estimating switching models for each of the FF factors. We test the model performance during crisis periods including Y2K, the financial crisis and COV-19.
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