The last few times my quant friends and I have gotten together and they’ve asked what I’ve been thinking about, my answer has been “factor rotation”. Meaning, while we all know certain factors work over time, there are times when they are more of a “fat pitch”. Low vol now? Not so much.
Another nice little piece from Research Affiliates on the valuations of factors over time, looks like the first in a series so you may see a few more of these in the coming weeks.
Chart then download:
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