Factor Reversal Halts, but Volatility Remains Elevated
While last week’s sharp reversal of factor returns has halted, higher levels of factor volatility persist.
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Has the Factor World Gone Mad and Are We on the Brink of Another Quant Crisis?
Many have drawn a parallel between this month and what happened in July of 2007.
Is investor sentiment (a-a-achoo!) contagious?
In this post, we investigate whether Axioma’s ROOF scores give any credence to the old adage, “When Wall Street sneezes, all markets catch a cold.”