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Factor Construction: Beta vs $-Neutrality

Is Beta Driving Factor Performance?

Nicolas Rabener
10 min read
18 Jun 2017

SUMMARY

  • Factors constructed $-neutral didn’t benefit much from beta-exposure from 2000 to 2017
  • Beta-neutrality is only a must for Low Volatility
  • However, beta-neutral factors offer lower correlation to long-only indices

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