Non-beta Exposure Behind Underperformance

"(...) Recent underperformance is not the result of a deterioration in factor strategies performance, says a white paper from Scientific Beta. ‘What Really Explains the Poor Performance of Factor Strategies over the Last 3 Years?’ says since it has been possible to offset negative performance for some factors through the good performance of other factors, the issues relate more to the factor exposure implementation choices than to the factors themselves. For instance, in the last three years, the non-control of market beta exposure in a bull market context has prevented the vast majority of multi-factor indices on the market from benefitting fully from the important market risk premium. It is this poor market conditionality rather than the variations in factor returns that explains the disappointing performance of long-only factor offerings over this period.  (...)"