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There is a shift towards allocating to the factor premiums momentum, value and low volatility. However, common factor indexes are a suboptimal way to harvest factor premiums. In this article, Joop Huij explains new factor strategies that lead to higher returns, while lowering the risks, resulting in higher Sharpe ratios.
There is a shift towards allocating to the factor premiums momentum, value and low volatility. However, common factor indexes are a suboptimal way to harvest factor premiums. In this article, Joop Huij explains new factor strategies that lead to higher returns, while lowering the risks, resulting in higher Sharpe ratios.