Strategy Note /
Global

FACTOR CONSTRUCTION: BETA VS $-NEUTRALITY

    FactorResearch
    21 October 2021
    Published byFactorResearch
    1. Factors constructed $-neutral didn’t benefit much from beta-exposure from 2000 to 2017
    2. Beta-neutrality is only a must for Low Volatility
    3. However, beta-neutral factors offer lower correlation to long-only indices