FYI: Factor investing is one way to diversify a portfolio by picking stocks based on certain characteristics. Over recent months, however, different factor groups have started to move more closely with each other, potentially posing unwanted risk exposure for investors with multiple factors in their portfolios.
The correlation between factor pairs–meaning how close factors follow each other’s steps–in global markets has recently hit a 20-year record high, wrote Inigo Fraser-Jenkins, a quantitative strategist at Bernstein, in a Jan. 10 research report.
Regards,
Ted
https://www.barrons.com/articles/when-markets-crash-everythings-correlated-even-factors-51548324000?mod=hp_DAY_10
