Zero Hedge: Do Quant Factors Persist Anymore?
Quantitative weighting schemes need to look back at the past to help forecast the future, with the assumption that persistence exists. With negative persistence recently, the better plan is to weight factors opposite what has performed well by incorporating the persistence information above into the process.
Based on the results above, shorter-term trading models would have performed well since June 2007, while longer-term models would have performed better previously.