Bull run shows up differences in how factor strategies are built

Market exposure, factor construction and risk budgeting have impact, writes Luc Dumontier of LFIS

Factor investing is an investment framework rather than a standalone strategy

Last year, the S&P 500 delivered a net total return of about 21% – its best yearly performance since the launch of the first factor-investing strategies. Annualised volatility was around 7%, and implied volatility dipped regularly below 10%.

Yet the performance of different factor strategies varied widely – both for strategies based on different premia and for specific implementations of strategies based on the same premia. Why?

A look back at the year shows how the answer lies in market

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Digging deeper into deep hedging

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