Quant Momentum Funds Are Slammed Again in a New Fed-Linked Study
- Paper says they trail the market and offer no diversification
- Shorting losers drives gains, posing risk for long-only funds
This article is for subscribers only.
It’s the classic attack from market pragmatists on quant investing: Stock trades that look smart in theory end up misfiring in real life.
And researchers from the Federal Reserve and the University of Calabria in Italy are now the latest to pour skepticism on the popularity of systematic funds that chase recent winners and dump losers, part of the so-called factor-investing boom.