dc.description.abstract | We study the performance of implementation methods for multifactor strategies in the
Norwegian equity market. We compare the risk-adjusted performance of three different
strategies implemented with equal weights, mean-variance optimized weights and factor-timed
weights. During the financial crisis, the mean-variance optimization strategy performed
exceptionally well with a Sharpe ratio if 0.402. The factor timing strategy underperformed
during the financial crisis, but outperforms in normal times, generating a Sharpe ratio of 0.705
between March 2009 and December 2019. Moreover, the factor timing strategy is superior in
the long run, although differences in risk-adjusted returns are minor. Our findings indicate that
implementing factor-timed weights estimated on macroeconomic variables and moving to
mean-variance optimized weights during crises may enhance the risk-adjusted returns of a
multifactor strategy. | en_US |