Factor strategies seesaw in coronavirus-hit markets

Quants struggle to second-guess ongoing effect of virus on investments

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Amid growing concern over the spread of coronavirus, quants reported unpredictable behaviour in factor-based investment strategies during last week’s plunge in stock prices, in some cases cancelling out diversification benefits.

“Some factors suffered quite a bit in a way that I didn’t expect,” says Jean-Philippe Bouchaud, chairman of Capital Fund Management. “We’ve been surprised by the performance of value, in particular. Value is something that usually performs okay in these periods. It

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