Strategy Note /
Global

HEDGING MARKET CRASHES WITH FACTOR EXPOSURE

    FactorResearch
    24 September 2021
    Published byFactorResearch
    1. None of the factors consistently generated positive performance during recent market crashes
    2. However, almost any factor exposure would have increased the risk-return ratio of an equity-centric portfolio
    3. Low Volatility and Mean-Reversion would have been most beneficial, Momentum least