Unsere Forschungergebnisse unterstützen die gesellschaftliche Debatte rund um aktuelle finanzökonomische Fragestellungen. Durch die Veröffentlichung der Arbeiten in internationalen Fachzeitschriften und unserer Working Paper Series sollen diese für einen möglichst breiten Adressatenkreis zugänglich werden.

HFRC Working Paper Series

Unsere Arbeitspapiere fassen die neuesten Ergebnisse aus der Forschungsarbeit des Instituts zusammen. Die Papiere stellen Diskussionsbeiträge dar und sollen zur kritischen Kommentierung der Ergebnisse anregen.

Alle Working Papers

Publikationen von Carsten Rother

Active factor completion strategies

Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother
Journal of Portfolio Management | 02/2020 | Forthcoming
Embracing the concept of factor investing, we design a flexible framework for building out different factor completion strategies for traditional multi-asset allocations. Our notion of factor completion comprises a maximally diversified reference portfolio anchored in a multi-asset multi-factor risk model that acknowledges market factors such as equity, duration, and commodity, as well as style factors such as carry, value, momentum, and quality. The specific nature of a given factor completion strategy varies with investor preferences and constraints. We tailor a select set of factor completion strategies that include factor-based tail hedging, constrained factor completion, and a fully diversified multi-asset multi-factor proposition. Our framework is able to organically exploit tactical asset allocation signals while not sacrificing the notion of maximum diversification. To illustrate, we additionally embed the common trend style that permeates many asset classes, and we also include the notion of style factor momentum.

Optimal timing and tilting of equity factors

Hubert Dichtl, Wolfgang Drobetz, Harald Lohre, Carsten Rother, Patrick Vosskamp
Financial Analysts Journal | 09/2019
Aiming to optimally harvest global equity factor premiums, we investigated the benefits of parametric portfolio policies for timing factors conditioned on time-series predictors and tilting factors based on cross-sectional factor characteristics. We discovered that equity factors are predictably related to fundamental and technical time-series indicators and to such characteristics as factor momentum and crowding. We found that such predictability is hard to benefit from after transaction costs. Advancing the timing and tilting policies to smooth factor allocation turnover slightly improved the evidence for factor timing but not for factor tilting, which renders our analysis a cautionary tale on dynamic factor allocation.