Scientific Beta

Risk.net: "Some types of popular multi-factor investment strategies could fare worse in an economic downturn than investors expect, according to a study from EDHEC-Risk Institute. Strategies combining factor exposures such as value and momentum could suffer if expectations for the economy soured, because the factors behave procyclically and so would fail to offset each other."

Risk.net 29/03/2018

"(...) Common multi-factor strategies have hidden macroeconomic exposures, research shows (...) Some types of popular multi-factor investment strategies could fare worse in an economic downturn than investors expect, according to a study from EDHEC-Risk Institute. Strategies combining factor exposures such as value and momentum could suffer if expectations for the economy soured, because the factors behave procyclically and so would fail to offset each other. (...)"