When it rains, it pours: Multifactor asset management in good and bad times

نویسندگان

چکیده

We examine the profitability of multifactor portfolios on US stock market. Using passive sector investing as benchmark, we assess performances factor-based asset management strategies in good and bad times. When short selling is unrestricted, factor outperforms all respects. For long-only portfolios, our results reveal a trade-off between risk premia associated with factors diversification potential sectors. Multifactor tends to be more profitable than benchmark during times but less attractive times, when needed most.

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ژورنال

عنوان ژورنال: Journal of Financial Research

سال: 2021

ISSN: ['1475-6803', '0270-2592']

DOI: https://doi.org/10.1111/jfir.12257