Study warns against ignoring factors’ procyclicality

Common multi-factor strategies have hidden macroeconomic exposures, research shows


Some types of popular multi-factor investment strategies could fare worse in an economic downturn than investors expect, according to a study from Edhec-Risk Institute.

Strategies combining factor exposures such as value and momentum could suffer if expectations for the economy soured, because the factors behave procyclically and so would fail to offset each other.

“A lot of multi-factor products may not be as diversified as they claim to be,” says Felix Goltz, head of applied research at the

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: