This is not for lack for effort, because many investors and asset managers have tried to develop a successful factor timing strategy.
Two recent papers1 show that factors exhibit short-term return momentum: factors that did well (poorly) over the past one month tend to continue to do so over the subsequent one month. These studies suggest that factor performance can be timed after all, albeit in the very short run only.
However, it remains an open question whether the short-term factor momentum effect can be profitably exploited after transaction costs, and whether the effect is also present in markets other than the United States.
1 See: Gupta & Kelly, “Factor Momentum Everywhere”, Journal of Portfolio Management, Vol. 45, No. 3, pp. 13-36, 2019. See also: Arnott, Clements, Kalesnik & Linnainmaa, “Factor Momentum”, working paper, 2019.
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