Timing Excess Returns : A Cross-Universe Approach to Alpha

This paper presents a model that uses time series momentum in order to construct strategies that systematically outperform their benchmark. We find that our one size fits all approach delivers significant out-of-sample outperformance while meeting the ex- ante risk requirements, nearly doubling yearly returns in a long-only scenario. Further, we demonstrate that our model delivers a benefit versus a static portfolio with fixed mean weights, showing that timing of excess returns momentum has a sizeable benefit versus static allocations. This also applied to the passively investable equity factors, where we outperform a static factor exposure portfolio with statistical significance