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Bull run shows up differences in how factor strategies are built

February 2018

Wide differences in performance reflect key differences in market exposure, factor construction & risk budgeting.

Wide differences in factor strategy performance in 2017 can be traced to three factors, differences in market exposure, factor construction and risk budgeting, according to LFIS’ Absolute Return Strategies team.  Subsequent market developments were an interesting illustration of the key messages addressed in the article.

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