Bad Dream Comes True for Quants as Momentum Trade Goes Low Beta
- Momentum and low-volatility trade begin to deteriorate
- Additonal factors creep into single-factor smart-beta ETFs
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A bad quarter for automated managers is an example of what can happen when the lines blur around one of today’s hot-button investment themes: factors.
Only about a quarter of quantitative equity funds have beaten their benchmarks since June, reversing a trend from the first half of 2016, research from JPMorgan Chase & Co. showed yesterday. One reason for the skid: managers chasing momentum shares paid a price when a lot of them got caught in the downdraft that befell low-volatility equities starting in June.