Key Takeaways

  • Of the six factors we track, the size factor (small-cap stocks) showed the best performance over the past month. Value and momentum also outperformed, while the growth factor continued to lag.
  • After a strong April, our dynamic factor portfolio continued to outperform in May, returning 0.4% more than the S&P 500. Since the start of 2020, this strategy has outperformed the S&P 500 by 8.7%.
  • After the latest rebalance, the dynamic factor portfolio is overweight low-volatility and momentum while being underweight size (small-cap) and growth.
  • Our stock selection model continued its winning ways in May, as a basket of the favored stocks from the model outperformed the S&P 500 by 2.41%. Four of the five custom factors that make up the stock selection model outperformed the S&P 500, with the value, quality and estimates factors all contributing strongly in May.
  • Our market valuation methodology continues to see equities as overvalued relative to investment grade fixed income. As a result, we expect muted returns and sustained volatility to continue in the equity market.

Factor Performance Review

We track the performance of six factors (growth, quality, low-volatility, momentum, size, and value) as part of our multi-factor strategy. Over the past mont...

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