"(...) The poor performance of multi-factor strategies can be prevented, according to Scientific Beta researchers. The investment factors aren’t to blame – it’s your selection of them that ne ...
"(...) The poor performance of multi-factor strategies can be prevented, according to Scientific Beta researchers. The investment factors aren’t to blame – it’s your selection of them that needs work, according to Scientific Beta. New research from the EDHEC Business School unit found the underperformance of factor strategies over the last three years could have been offset through better decision-making surrounding investors’ exposure to various characteristics of stocks. Scientific Beta’s Noël Amenc, Daniel Aguet, and Felix Goltz wrote about their findings in a paper released Tuesday. (...) Index and strategy design of long-only strategies rarely considers the risks caused by factor exposure choices, according to the paper. The authors said that “market beta” risk has the biggest impact on returns and volatility over the longer term, yet it is the least controlled. (...)"
Type: | Press article |
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Date: | le 05/11/2019 |
Research Cluster : | Finance |
Source : | Institutional Investor |