Cross-sectional stock volatility lifts value factor

Dispersion in returns makes for ‘double alpha’

In a year when mainstream markets tumbled, quants say scattered valuations across stocks have contributed to the success of one investment style in particular – value.

So-called 60/40 portfolios, a mixture of stocks and bonds, are facing the worst returns for a century, according to analysts at Bank of America Global Research.

Statistical arbitrage hedge fund QuantZ’s ValMo (value plus momentum) factor, though, has returned an eye-catching 64.5% year to date.

Founder Milind Sharma, a former