The quant equity crisis of 2018-2020: Cornered by ‘big growth’
David Blitz | Chief Researcher
The 2018-2020 quant equity crisis posed an exceptional challenge to quantitative managers due to a rare combination of circumstances. There was basically only one way to outperform during this period, investing in the largest and most expensive growth stocks. Meanwhile, established factors were only effective to the extent that they provided implicit exposure to the same large growth equities. Thus, there were numerous ways to fail during the 2018-2020 period, but essentially only one way to succeed.
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