Monty’s year-end wrap up of Factor Performance was released last month, and if you missed it, you can access the full report here

The tl;dr version is:

  • Factor portfolio returns dispersion is very significant across vendors, even for the same factor – it is essential to understand both the selection and the weighting process to really understand what you are investing in
  • Even allowing for some dispersion across styles, Value was an unusual laggard in a bull market year
  • While the market remained extremely strong for most of the year it is critically important to stay disciplined and remain diversified by harvesting all available factor premia, including recent laggards like Value and Low Vol. The long-term has borne out the value of smart beta in providing systematic and scientific risk mitigation as well as incidental exposure to Size factor premia

For any questions, reach out to our Client Specialist, Teun Lucas.

Vijay Vaidyanathan

OAM’s founder and CEO Vijay Vaidyanathan has a PhD in Finance and an MS (Risk & Asset Management) from the EDHEC Business School, France. He also has an MS in Computer Science from SUNY Albany and a MSc (Tech) from BITS Pilani, India and is an alumnus of IMD Lausanne, Switzerland. Previously, Vijay was the President, EDHEC-Risk Indices and Benchmarks North America where his research interests included smart beta and the role of factors and risk premia in equity markets. He holds several patents in financial micro-transactions in Digital Markets.