The Siren Song of Factor Timing by Clifford S. asness

Siren song : 유혹하는 말

1. 대부분 연구들에서는 Return 에 주목

• How strong are they?
• How robust are they?
• "Robustness" meaning do they pass a series of tests of reasonableness including working out-of-sample and fitting a sensible economic story.
• what particular combination of these factors one should hold in an optimal portfolio

2. Factor timing
Why do I call factor timing a "siren song" in my title?
Well, factor timing is very tempting and, unfortunately, very difficult to do well.
"I argue that factor timing is highly analogous to timing the stock market"

2015년 논문에서 factor timing 을 "sin"이라고 불렀고 timing 을 정 원하면 basic value and trend indicators 를 이용해서 "sin a little" 하라고 이야기 했다.

"Given my belief in the main factors described above - that is I do not think they're the result of data mining or will disappear in the future - the implication is to maintain passive exposures to them with small if any variance through time.