I snuck away this week back to Boston to spend time with family and friends. While home, I was fortunate to capture this shot. If Gold prices go on a run, this was clearly a sign...
This week – having received a number of questions lately about factor and style performance year-to-date – we wanted to explore why a seemingly trivial question is not so trivial to answer.
Specifically, we explore why long/short factor performance may not necessarily even correlate to the active returns of some long-only implementations. And, of course, which long-only implementation you choose can lead to meaningful dispersion in short-term results.
Here's a sneak peek at momentum, which has seen active return dispersion year-to-date exceeding 600bp.
Read on! (PDF)
🎧 LISTEN: Flirting with Models – Wayne Himelsein – The Quant Philosopher (S2E7)
Read of the Week
→ PORTFOLIOS: "In the approximately 10,000 advisor portfolios that we analyze at the security level, we find there are large common patterns and significant exposures to just a few factors." Factors and Advisors Portfolios
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