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Hedging Market Crashes with Factor Exposure

No Factor is a Panacea, but all are attractive Diversifiers

Nicolas Rabener
10 min read
12 Oct 2017

SUMMARY

  • None of the factors consistently generated positive performance during recent market crashes
  • However, almost any factor exposure would have increased the risk-return ratio of an equity-centric portfolio
  • Low Volatility and Mean-Reversion would have been most beneficial, Momentum least

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