Doing some attribution analysis this morning. For most long-only investors, traditional factors* just haven’t been much fun this year. (Using iShares ETFs as a lazy proxy for this tweet)pic.twitter.com/YJBnc1csZr
Show this thread
I'm a little surprised, since it seems that many EMN funds are having their best year for a while in 2021.
-
-
From JPM breaks down the legs for their US factor definitions.
But I’m not sure how their “short leg” for something like Size is just up 12.9% YTD.pic.twitter.com/fHLb79hTMx
-
I take that back. Didn’t realize Russell 2k was up just 15% YTD.
- Show replies
New conversation -
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.