Factor Performance in Bull and Bear Markets
Jan 27, 2022
Do common equity factors suffer during bear markets? Undoubtedly, the market factor is a rather unpleasant investment during bear markets, but what about the long-short factors? Are they able to deliver performance? The research paper by Geertsema and Lu (2021) provides several answers and interesting insights.
https://quantpedia.com/factor-performance-in-bull-and-bear-markets/