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Korean J Financ Stud > Volume 47(5); 2018 > Article
Korean Journal of Financial Studies 2018;47(5):849-891.
DOI: https://doi.org/10.26845/KJFS.2018.10.47.5.849    Published online October 31, 2018.
Smart beta Strategy and Long-Short Factor Investing in Style Rotation
Ryumi Kim
Smart beta Strategy and Long-Short Factor Investing in Style Rotation
Ryumi Kim
Seoul National University
Abstract
According to the literature that an outperforming style changes due to time-varying style premiums, I investigate the dynamic style allocation strategies with Korean stocks under regime switching. I find that value, size, and low volatility are the best styles in the entire sample period. However, low beta and low volatility styles produce superior returns in event regimes, and value and dividend styles outperform in normal regimes. As a result, regimedependent dynamic style allocations outperform the stock market, static equivalent strategies, and all single-style portfolios, both before and after transaction costs. These outperformances are consistent in in-sample and out-of-sample prediction analysis.
Key Words: Style Rotation,Smart Beta Strategy,Factor Investing,RegimeSwitching Model,Dynamic Strategy,스타일 전환,스마트베타전략,요인투자,국면전환모형,동태적 전략
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