The Search for Consistent Returns

An Analysis of Style-Biased Strategies in Canada

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Momentum? Growth? Low Volatility? Is there one bias that can help Canadian plan sponsors achieve more consistent risk-adjusted returns in these volatile times? Building on over a decade of academic research, Pyramis conducted research testing Barra’s seven Canadian style risk factors over a 20+ year period in the Canadian market. While some factors did indeed exhibit stronger performance during certain economic environments, portfolio performance lacked consistency when examined through rising and falling market conditions. What are the implications? Are Canadian plan sponsors missing opportunities?

 

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Pyramis

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