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

Investors should switch between factors as alphas change, says quant

timing-pendulum-1222205267.jpg

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

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 copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: