Daily Archives: Mar 17, 2017 at 06:43 am EDT

Research Review | 17 March 2017 | Risk Factors

Contrarian Factor Timing is Deceptively Difficult
Clifford S. Asness (AQR Capital Management), et al.
March 7, 2017
The increasing popularity of factor investing has led to valuation concerns among some contrarian-minded investors, and fears of imminent mean-reversion and underperformance. In this paper, the authors find that despite their recent popularity the most common factors or styles, namely the value, momentum and defensive styles, are not, in general, markedly over-valued as measured by their value spreads. Continue reading