Factor Investor Report – December 2020
All things Factor Investing
Editor’s note
This month we take a close look at “resurgence” of the Value Factor and “crash” of Momentum Factor. Is it much ado about nothing or is this the ultimate mean reversion.
In the Sector Ranks section we have added table on medium term ranks which will pick up reversals that we saw in November fairly quickly. There are some new entries in the Stock Ranks.
And interesting reads and listens for you in the Reading Corner. Cliff Asness’ conversation with Barry Ritholtz is like a masterclass in quant investing. Wisdom of Crowds and Vaccines (which first appeared in the Economic Times) and an interesting book read on the development of Google Maps. We may perhaps be the last generation which ever got lost (literally) and had to ask for directions.
We would like to hear from you about anything else you would like us to write about. This report will also be available at factorinvestor.substack.com and you can write to us at investor.relations@qedcap.com
18th December 2020
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Contents
Quant Land rejoices as Value gains Momentum
Invest-O-Meter
Sector Ranks
Stock Ranks
Reading/Listening Corner