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‘Timing factors aggressively is a dangerous proposition’“But you can’t do that with factors because there aren’t many factors to choose from, so you’re limited in terms of how many hands you can play simultaneously. What’s more, the mean reversion period we see is probably over a 3-5-year cycle, which means you don’t get to play many hands over time. So while using predictive regressions to time factors might give you a slight edge, timing factors aggressively is a dangerous proposition.”
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