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Estimating Time-Varying Factor Exposures

delete2018-12-26
delete19
PRE
AI
A
Andrew Ang *
A
Ananth Madhavan
A
Aleksander Sobczyk
DOI：10.2469/faj.v73.n4.6delete
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Abstract

Abstract

En 中文
We develop a methodology to estimate dynamic factor loadings using cross-sectional risk characteristics. Applying it to a dataset of US -domiciled mutual funds, we distinguish the components of active returns attributable to (1) constant factor exposures (e.g., a tilt to value stocks), (2) time varying factor exposures, and (3) security selection. We find that large-cap growth funds tend to be concentrated in two factors (momentum and quality) whereas large-cap blend funds have the most factor diversity. We also find that common measures to gauge manager skill may be misleading.
Keywords:
MUTUAL FUND PERFORMANCE
CROSS-SECTION
ACTIVE SHARE
RETURNS
SKILL
ATTRIBUTION
PORTFOLIOS
MANAGERS
MARKET
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Journal

F
Financial Analysts Journal
IF:
2.2
Papers:
1.2K
Citations:
3.1K

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