FYI: It may be possible to predict which factor investing strategies will outperform in the future, recent research from AQR Capital Management suggests.
Investment factors like value and size exhibit performance persistence over time — or the factor known as momentum. Factor portfolios that have recently outperformed tend to do well in the future, and those that have underperformed are likely to continue to suffer, according to a new paper from AQR researchers Tarun Gupta and Bryan Kelly.
Regards,
Ted
https://www.institutionalinvestor.com/article/b1cmczbjjl4qgs/Factor-Momentum-Is-Real-Researchers-Argue
