Generic strategies designed to harvest a certain factor premium regularly conflict with other factor premiums. We find that the premiums associated with these strategies tend to shrink, sometimes even to zero, in these periods of factor disagreement. Enhanced factor strategies, on the contrary, are explicitly designed to avoid stocks that are unattractive on other established factors. As a result, we find not only that their added value is higher on average, but also that they continue to deliver when generic factor strategies struggle. Read more about this white paper.
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When factors disagree
Bart Van der Grient, David Blitz PhD, Pim van Vliet PhD, research, Robeco Asset Management
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