Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

27 Pages Posted: 28 Sep 2018 Last revised: 16 Nov 2018

See all articles by Olivier Blin

Olivier Blin

Unigestion SA

Florian Ielpo

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES); Unigestion

Joan Lee

Unigestion

Jerome Teiletche

Unigestion

Date Written: September 10, 2018

Abstract

Alternative risk premia are encountering growing interest from investors. The vast majority of the academic literature has been focusing on describing the alternative risk premia (typically, momentum, carry and value strategies) individually. In this article, we investigate the question of allocation across a diversified range of cross-asset alternative risk premia over the period 1990-2018. For this, we design an active (macro risk-based) allocation framework that notably aims to exploit alternative risk premia’s varying behavior in different macro regimes and their valuations over time. We perform backtests of the allocation strategy in an out-of-sample setting, shedding light on the significance of both sources of information.

Keywords: Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation

Suggested Citation

Blin, Olivier and Ielpo, Florian and Lee, Joan and Teiletche, Jerome, Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals (September 10, 2018). Available at SSRN: https://ssrn.com/abstract=3247010 or http://dx.doi.org/10.2139/ssrn.3247010

Olivier Blin

Unigestion SA ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

Florian Ielpo

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) ( email )

106-112 Boulevard de l'hopital
106-112 Boulevard de l'Hôpital
Paris Cedex 13, 75647
France

Unigestion ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

Joan Lee

Unigestion ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

Jerome Teiletche (Contact Author)

Unigestion ( email )

8c, avenue de Champel CP 387
CP 387
Genève 12, CH 1211
Switzerland

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