Quantitative investment styles, and when they perform

Each different strategy selects companies based on favourable characteristics defined by the strategy. There are many different factors such as risk based factors (value and size) that command a premium, fundamental factors (growth and quality) that are specific to the performance of a company, or behavioural factors (momentum and volatility) that are present in data but have no risk or fundamental explanation.

Harbour selects factors that have significant academic and empirical evidence. As a fundamental equity manager, Harbour believes it is important for factors to have an underlying risk or fundamental reason for their existence (rather than something that just exists in the data).

Factor portfolios provide increasingly important characteristics to manage portfolio risk and return profiles by choosing securities based on attributes that are associated with higher returns such as size, value, yield and growth.

Each factor can have its own unique performance cycle and it may be expected to outperform the market over the long term. Factor investing (especially in individual factors) will not work all the time, and there are times where some factors will underperform for periods of time.