Further compounding its poor predictive ability, its forecasts are negatively correlated with subsequent factor performance. (researchaffiliates.com)
Starting valuation ratios matter for factor performance regardless of region, regardless of time horizon, and regardless of the valuation metric being used. (researchaffiliates.com)
Based on our studies of factor performance under different financial regimes — the market cycle, the business cycle, and the investor sentiment regime — we found that factor strategies historically have been most responsive to market cycle analysis, while business cycle and investor sentiment analysis have served as good complements to market cycle analysis (see Exhibit 1). (indexologyblog.com)