Bernstein Quants – Reverting to mean reversion

As it tactically rotates an investment portfolio from factor to factor, Bernstein’s quantitative team, headed by Alla Harmsworth, looks at value and beta market exposures in Europe, particularly among the banks, and likes what it sees. The on-again, off-again relationship the analysts have with the value factor is on-again, as risk assets are a positive exposure amid a Europe with lessening political risk. Time for some Factor rotation?   Factor Rotation – Value is in vogue as risk-on market flourishes in EU without political headwinds This is a risk-on market, a May 2 Global Quantitative Strategy report titled “Reverting to mean…