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November Factor Commentary

Key Takeaways

  • October was a difficult month for factors. Four of the five factors underperformed, with value losing 4.6% in October.
  • The dynamically weighted factor portfolio has continued to outperform the S&P 500, as it has outperformed the broad index by 0.5% year-to-date.
  • For November, the dynamic factor portfolio is overweight momentum while being underweight low-volatility.

October Performance Review

October was a difficult month for factor performance, as four of the five factors underperf...

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