Minimum Standards for Factor Timing Studies
June 9, 2025 - Momentum Investing, Size Effect, Value Premium, Volatility Effects
Why do factor timing strategies that shine in research papers disappoint in real life? In his May 2025 paper entitled “Caveats of Simple Factor Timing Strategies”, David Blitz discusses the following simple factor timing strategies with material and statistically significant outperformance per published studies: Short-term factor momentum – each month allocates 40%, 30%, 20%, 10%… Keep Reading