Cross-sectional stock volatility lifts value factor
Dispersion in returns makes for ‘double alpha’
In a year when mainstream markets tumbled, quants say scattered valuations across stocks have contributed to the success of one investment style in particular – value.
So-called 60/40 portfolios, a mixture of stocks and bonds, are facing the worst returns for a century, according to analysts at Bank of America Global Research.
Statistical arbitrage hedge fund QuantZ’s ValMo (value plus momentum) factor, though, has returned an eye-catching 64.5% year to date.
Founder Milind Sharma, a former
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