FYI: There’s a standard playbook for quantitative factors when markets go haywire. But if February is any guide, the rules are out of date.
During selloffs, momentum stocks -- roughly defined as the biggest gainers over the past year -- tend to lead the way down as shaken investors cash out on their winners. Meanwhile, defensive factors like low-volatility or dividend payers should provide a pocket of safety from the carnage.
Regards,
Ted
https://www.fa-mag.com/news/if-you-believe-quants--nothing-happened-in-markets-this-month-37298.html?print
