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 month, the best factor was momentum, which outperformed the S&P 500 index by 4.6%. Value and low-volatility also performed well, outperforming the S&P 500 by 4.4% and 3.6%, respectively. The worst-performing factor over the past month was growth, which underperformed the S&P 500 by 4.9%. Performance for each of the six factors over the past month is shown as the gray bars in Fig. 1.

The video in this report is only accessible to members
Looking back over a 3-month period (blue bars in Fig. 1), momentum has seen the best performance, outperforming the S&P 500 by 10.5%. Since July, when momentum turned in a historically poor performance for the month, the momentum factor has been the best performing factor. O...

Unlock this article with a FREE 30-Day Trial!

An FSI Pro, or FSI Macro subscription is required in order to access this content.

*Free trial available only on a monthly plan

Disclosures (show)

Get invaluable analysis of the market and stocks. Cancel at any time. Start Free Trial

Articles Read 2/2

🎁 Unlock 1 extra article by joining our Community!

You’ve reached your limit of 2 free monthly articles. Please enter your email to unlock 1 more articles.

Already have an account? Sign In

Want to receive Regular Market Updates to your Inbox?

I am your default error :)