Anticipating which single factor will outperform in the coming years could be a wild guess, especially given the propensity of single factors to perform differently depending on the market environment and economic cycle.
Panellists at the recent SRP European Conference Multi-Factor Investing in the Future discussion, in London, discussed the many and different elements to consider when building factor-based solutions. Single factor indices are fine but they are subject to a bit of a risk, according to Andrew Innes, associate director, global research & design at S&P Dow Jones Indices. “If you hold exposure to a single-factor index for a long enough period you will be rewarded for that. This
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