The paper claims that these two components outperformed because of their defensive nature.
In times of low consumer confidence, some quality and size sub-factors, including return-on-equity, return-on-invested-capital, and sales-to-earnings ratio, have also produced a sizable amount of alpha.
Investing characteristics like value, growth, and quality are examples of broad factors that have more specific assessments.
“Across many different time periods, the quality sub-factors are the ones that persistently outperformed. As for value and growth, it really depends on a lot more different sub-factors,” Lustig said.
Read more: The circle of life in factor investing
He continued by saying that while the value and quality aspects are closely related, their individual components may have distinct objectives.
