When factors disagree
Bart Van der Grient, David Blitz, PhD, Pim van Vliet, PhD
Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. But enhanced factor strategies avoid stocks that are unattractive on other established factors and continue to deliver when generic factor strategies struggle.
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Head Quantitative Equities Research
“Factor investing, aimed at systematically capturing the value, momentum, low-volatility and other premiums, holds the future.”
Senior Portfolio Manager
"The low-volatility effect is perhaps the largest anomaly in finance, challenging the basic trade-off between risk and return, as higher risk does not lead to higher returns.
Still, it remains one of the least utilized factor premiums in financial markets."
- Related subjects:
- conservative equities,
- factor investing,
- low volatility,
- momentum factor,
- quant value,
- Bart Van der Grient,
- David Blitz, PhD,
- Pim van Vliet, PhD