YTD Performance of Equity Factors

Markets are in turmoil, and there exist very few investors who are unscathed by current global events related to coronavirus pandemic. It’s a good time to revisit how are various groups of algorithmic trading strategies navigating current troubled times. The selected sample for this short article consists of 7 well-known equity factor strategies — size, value, momentum, quality, investment, short-term reversal and low volatility factors.

Our analysis shows that we have two groups of factors: strong winners and bad losers. There is no middle ground. A current bear market is ruthless, equity long-short factor strategies either totally nailed it and had a stellar performance or totally disappointed.

https://quantpedia.com/ytd-performance-of-equity-factors/

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Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies

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Quantpedia.com — The Encyclopedia of Quantitative and Algorithmic Trading Strategies