Factor Investor Report

Factor Investor Report – December 2020

Editor’s note

This month we take a close look at “resurgence” of the Value Factor and “crash” of Momentum Factor. Is it much ado about nothing or is this the ultimate mean reversion.

In the Sector Ranks section we have added table on medium term ranks which will pick up reversals that we saw in November fairly quickly. There are some new entries in the Stock Ranks.

And interesting reads and listens for you in the Reading Corner. Cliff Asness’ conversation with Barry Ritholtz is like a masterclass in quant investing. Wisdom of Crowds and Vaccines (which first appeared in the Economic Times) and an interesting book read on the development of Google Maps. We may perhaps be the last generation which ever got lost (literally) and had to ask for directions.  

We would like to hear from you about anything else you would like us to write about. This report will also be available at and you can write to us at       18th December 2020

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  1. Quant Land rejoices as Value gains Momentum 2
  2. Invest-O-Meter 4
  3. Sector Ranks 5
  4. Stock Ranks 6
  5. Reading/Listening Corner

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