Value, Momentum and Mean Reversion in Factor Returns

MFS
Door januari 13, 2020 17:29

Value, Momentum and Mean Reversion in Factor Returns

In brief

■ Negative returns to Value factors over the past ten years might lead one to conclude that such factors' returns will also be challenged going forward. Momentum has had relatively better returns over the same period but has also been challenged more recently, another potential cause for concern.

■ Utilizing 13 well known factors, we demonstrate that factor returns have long tended to exhibit mean reversion, with both outperformers and underperformers reverting to average return levels.

■ History indicates that, rather than more of the same, it makes sense to expect a reversion to longterm averages.

MFS
Door januari 13, 2020 17:29

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