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Quantitative Finance · Glossaire

Qu'est-ce que « Factor timing » ?

Definition 6.4 Strategies I: Equities and Futures · Chapitre 6 — Value, Quality and Low Risk

Factor timing varies the weights of a portfolio’s factors over time according to forecasts of their returns, for instance from the spread in valuations between a factor’s long and short sides, its recent performance or its volatility.

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