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Value Factor – Intra vs Cross-Sector

How Effective is Sector-Neutrality?

Nicolas Rabener
10 min read
4 Feb 2018

SUMMARY

  • Intra versus cross-sector Value portfolios share the major trends
  • Neutralising the sector exposure increases the risk-return ratio of the Value factor
  • However, the benefits are marginal and come with higher operational complexity

INTRODUCTION

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