What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?
This publication shows that recent underperformance is not the result of a deterioration in factor performance, since it has been possible to offset negative performance for some factors through the good performance of other factors, but relates more to the implementation choices of the factor exposures than to the factors themselves. For instance, in the last 3 years, the non-control of market beta exposure in a bull market context has prevented factor indices from benefitting fully ...
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