27.01.2020

Masterarbeit unseres Absolventen im Financial Analyst Journal publiziert

Patrick Vosskamp (MSc.) hat Economics and Finance am Fachbereich Wirtschaftswissenschaft der Uni Tübingen studiert und seine Masterarbeit unter der Betreuung von Professor Joachim Grammig verfasst.

See the paper here

Abstract

Aiming to optimally harvest global equity factor premiums, we investigated the benefits of parametric portfolio policies for timing factors conditioned on time-series predictors and tilting factors based on cross-sectional factor characteristics. We discovered that equity factors are predictably related to fundamental and technical time-series indicators and to such characteristics as factor momentum and crowding. We found that such predictability is hard to benefit from after transaction costs. Advancing the timing and tilting policies to smooth factor allocation turnover slightly improved the evidence for factor timing but not for factor tilting, which renders our analysis a cautionary tale on dynamic factor allocation.