High-Risk stocks are expected to significantly underperform the market over the next 12 months. Short positions may capitalize on potentially negative price returns.
15
Price Based
Momentum
63
Size
69
Volatility
33
Fundamental Based
Value
14
Quality
12
Growth
7
Negative Factors (Bottom 20%)
Value: Stocks with the highest valuations tend to produce weak or negative forward returns.
Quality: Stocks of the lowest quality are exposed to high operational and financial risk.
Growth: Stocks of the lowest-growth companies typically underperform the market.
