MSCI: Which Factors Are More Time-Sensitive?
Hedge funds and other investors who manage portfolios that rebalance frequently face a challenge when it comes to the use of factors for trading, hedging and risk monitoring: Which factors tend to break down over time?
To answer the question, we examined a universe of global stocks over the 24 years ended in May 2016. From that universe, we built model portfolios for each of 14 Systematic Equity Strategy (SES) factors that we implemented with delays ranging from one day to one month. MSCI’s
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