Smart Beta, Smart Money

Yeguang Chi    Yeguang Chi, Qinghua Chen
24 May 2017
Categories: General Market Analysis, Equity Investments, Behavioral Finance

Country: China

Summary:
Factor-timing strategies in the U.S. produce weak returns and are strongly correlated to the basic factor-holding strategies. We present contrasting evidence from China, where mutual funds successfully time the size factor despite a negative unconditional loading. Funds with bigger return gaps exhibit more size-factor-timing skill and outperform. Additionally, size-factor timing ......


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