Sentences with phrase «factor cyclicality»

Not exact matches

In sum, factor strategies had distinct cyclicality and performed differently in various market and economic conditions.

While factors have exhibited excess risk - adjusted returns over long time periods as seen above, over short horizons factors exhibit significant cyclicality, including periods of underperformance.

We look at factors such as current and historical EPS and FCF payout ratios, debt levels, free cash flow generation, industry cyclicality, ROIC trends, and more.

E.g. they think that including a factor for V / A removes any taint from Earnings cyclicality from the Dividend Payout Ratio's metric.

Despite the fact that many single - factor strategies have empirically delivered positive excess returns in the long run, they have suffered periods of substantial underperformance under certain market conditions due to their cyclicality.

Historically, factor - based strategies have generated significant risk - adjusted returns in the long run, but they can also exhibit a high amount of cyclicality in the short run.