Factor woes prove need for better timing – QuantZ’s Sharma

Investors should switch between factors as alphas change, says quant

On the morning of November 9, 2020, when US pharmaceutical company Pfizer released the first set of data about its Covid-19 vaccine, Milind Sharma, a former prop trader at Deutsche Bank and RBC Capital Markets, noted an “off the chart” move in his factor heat maps, which measure the performance of quant factors such as value or momentum.

“It was just staggering,” he says. The market reversal turned winners into overnight losers and losers into winners. “Never before has momentum crashed more