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Factoring in

Is the value factor broken? Not according to QMA, the $123.2 billion quant arm of PGIM. New research from the firm suggests that macroeconomics, rather than fundamentals, explain the factor’s dire performance for the past 18 months. “What we’ve seen for value stocks is that their recent underperformance has been driven by multiple market losses. It hasn’t been driven by weakening fundamentals,” which would indicate a value trap, says Gavin Smith, portfolio manager at QMA.

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