Managing the Market Portfolio

• 成果类型: Article
• 署名作者: Hollstein, Fabian; Prokopczukb, Marcel
• 署名单位: Saarland University; Leibniz University Hannover; University of Reading
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.4459
• 发表日期: 2023
• 页码: 3675-3696
• 关键词: conditioning variables; MANAGED PORTFOLIOS; market portfolio; Market timing

摘要

We analyze the relation between time-series predictability and factor investing. We use a large set of financial, macroeconomic, and technical variables to time-series-manage the market portfolio. A combination of the out-of-sample market excess return forecasts of all variables yields a managed market portfolio that generates alphas relative to cross-sectional factor models that exceed 5% per annum. More broadly, the relation between time-series evaluation measures and (multifactor) alphas is weakly positive but complex. The variables' predictability for future returns is more important than that for volatility. Finally, we document that managed market portfolios based on lagged factor realizations also perform well.