Description
Title: What Affects Dynamic Equity Risk Factor Allocation in Financial Conditions?
Abstract: Significant losses were caused by the “technology bubble” in the late 1990s, the financial crisis in 2007/2008, and the Eurozone crisis across a variety of asset classes. The goal of this paper is to examine the time-varying behavior of risk premia factors like size, value, momentum, carry, quality, and low volatility. These risk premia baskets’ time-variant behavior has been examined in light of a variety of financial factors, including the equity market’s momentum, the yield curve, the business cycle, and various risk factors. The MSCI World universe is used as the basis for factor calculations. From January 1995 to September 2017, the monthly data set is available. The findings support the widely held belief that equity risk factors consistently outperform the general market and produce substantial alpha. The study demonstrates that an appealing return-risk relation can be achieved with a dynamic allocation of risk factors. A more aggressive or more conservative allocation to risk factors can outperform a diversified, equally-weighted portfolio, as the study clearly demonstrates how different risk factors behave in various financial situations.
Keywords: dynamic factor allocation; portfolio construction; risk premia
Paper Quality: SCOPUS / Web of Science Level Research Paper
Subject: Economics
Writer Experience: 20+ Years
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