While the study provides strong evidence supporting the benefits of conditional multifactor portfolios, one key aspect requiring further clarification is the impact of estimation error in constructing these portfolios. The study optimizes factor weights based on historical volatility and mean-variance optimization, which are inherently subject to estimation risk. Could the authors discuss how sensitive their results are to potential model misspecifications or shifts in market dynamics? Furthermore, the methodology for computing transaction costs considers trading diversification, but it is unclear whether market liquidity variations across different time periods were fully accounted for. Were any stress tests conducted to assess the robustness of the strategy under extreme market conditions, such as liquidity crises or volatility spikes?
