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From the field: Value and momentum profits declining?

From the field: Value and momentum profits declining?

24-06-2015 | Visión

A paper* argues that many popular return anomalies have materially diminished in strength and significance over time, and relates these findings to increased anomaly-related trading by a.o. hedge funds. The factors which have weakened according to the study include the well-known size, value, momentum and low-volatility.

  • David Blitz
    David
    Blitz
    Head of Quant Research

We are puzzled by these findings, as we find that our quantitative strategies, which are based on such anomalies, have generated returns in real life that are highly consistent with the figures we found in our original portfolio simulation, for developed as well as for emerging markets. Perhaps this has to do with the fact that we use more sophisticated alpha factors than the ones generally considered in the academic literature.

From the field
From the field

Nuestros investigadores publican multitud de informes basados en sus propios estudios empíricos; también siguen los análisis cuantitativos que hacen los demás. Comentarios de nuestro responsable de análisis cuantitativo para renta variable, David Blitz, sobre publicaciones externas de gran relevancia.

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