If let’s say a Manager does market timing, and we have a table with a series of factors such as size, value, momentum, etc., and they are asking us to see if the manager is using market timing, where exactly can I infer this ? We don’t have a factor that represents market timing, do we?
Just curious - have you gone through the last chapter on equity yet?
If not, equation 2 on page 307 should help you out.
Reading 26, Portfolio Performance Evaluation, is also useful in understanding return attribution.
Look for big changes in factors: size factor goes from +0.3 to −0.2, market factor goes from 0.85 to 1.35, that sort of thing.
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thanks for this tips