There is ample evidence that factor momentum exists in the standard long–short mixed approach to factor investing. However, the excess returns are put under scrutiny due to the high implementation costs. We present a novel real-life approach that relies on the long-only integrated approach to factor investing. Instead of exploiting the potential momentum in factor portfolios, our strategy builds on the momentum of the optimal factor score weights in the integrated approach, which allows us to additionally profit from the serial dependence in the factors' interaction effects. One limitation of short-term timing strategies is their high turnover. By including the information of the covariance matrix and minimising the strategy's risk to the market portfolio, we can substantially reduce turnover. The resulting timing alpha remains significant even after transaction costs in a robust statistical test framework across the major stock markets.

中文翻译：

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Fama-French 因子时间选择：只做多头的综合方法

有充分证据表明，因子投资的标准多空混合方法中存在因子动量。然而，由于高昂的实施成本，超额回报受到审查。我们提出了一种新颖的现实方法，该方法依赖于因子投资的长期综合方法。我们的策略不是利用因子组合中的潜在动量，而是建立在综合方法中最佳因子得分权重的动量上，这使我们能够从因子相互作用效应的序列依赖性中额外获利。短期择时策略的限制之一是其高周转率。通过包含协方差矩阵的信息并最小化策略对市场投资组合的风险，我们可以大幅降低周转率。