Vaccine rally showed value flawed as momentum hedge, quant says
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
It was the news value investors had been waiting for. On November 9, Pfizer announced that its coronavirus vaccine was found to be more than 90% effective in preventing Covid-19 – prompting the sharpest rotation from momentum to value stocks on record.
Some investors hailed it as the start of a long-awaited recovery in value factor strategies, after years of poor performance. But on closer inspection, it looks more like a false dawn.
“It’s really been a disastrous year for value during the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
