Shortchanged by the No-Short Constraint — and Other Observations on 2019 Factor Performance
Many quant managers are having a tough go of it this year. While one might blame factors in general, their returns do not tell the whole story (or even the bulk of the story). We think one of the major culprits in the US is that a number of factors worked better on the short side and among small-cap names, but even that does not explain all of the underperformance.
||Melissa R. Brown, CFA
Managing Director, Applied Research
© 2020 Qontigo GmBH