Rival strategies split multi-factor fund investing

Goldman, Robeco challenge conventional ‘bottom-up’ portfolio design

Multi-factor investing – a type of long-only quant equity strategy – has a design problem. There are two ways to do it, but nobody can agree which is better.

Researchers at quant asset manager AQR Capital Management say the advantages of one approach are “too sizeable to be ignored”. Academics at the University of Zurich dismiss the same apparent advantages as a “statistical fluke”. The rift is muddying the outlook for an investment strategy with assets of $74 billion and climbing.


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