Vaccine rally showed value flawed as momentum hedge, quant says
Uncertainty and strategy design meant November 9 rally fell short of covering momentum crash
It was the news value investors had been waiting for. On November 9, Pfizer announced that its coronavirus vaccine was found to be more than 90% effective in preventing Covid-19 – prompting the sharpest rotation from momentum to value stocks on record.
Some investors hailed it as the start of a long-awaited recovery in value factor strategies, after years of poor performance. But on closer inspection, it looks more like a false dawn.
“It’s really been a disastrous year for value during the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Quant investing
Execs can game sentiment engines, but can they fool LLMs?
Quants are firing up large language models to cut through corporate blather
The quants who kicked the hornets’ nest – to champion causality
A small but influential cadre says the multi-trillion-dollar factor investing industry is based on flawed science
‘Brace, brace’: quants say soft landing is unlikely
Investors should prepare for sticky inflation and volatile asset prices as central banks grapple with turning rates cycle
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Can machine learning help predict recessions? Not really
Artificial intelligence models stumble on noisy data and lack of interpretability
How patchy liquidity is stymieing systematic credit
…and what investors like AllianceBernstein, Man Numeric and Acadian are doing about it
How Man Numeric found SVB red flags in credit data
Network analysis helps quant shop spot concentration and contagion risks
Is low vol crowded? That depends who you ask
Equity drawdowns have pushed more investors into low volatility strategies, raising fears of a build-up of risk
