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 growth, which outperformed the S&P 500 index by 1.5%. The growth factor was by far the best-performing factor, the only other factor that turned in positive performance for the month was low-volatility, which produced small outperformance of 0.4%.

The other four factors underperformed, with momentum seeing the worst performance, as it underperformed the S&P 500 by 5.3% during November. The size and value factors also underperformed. Performance for each of the six factors over the past month is shown as the dark blue bars in Fig. 1.

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On a trailing 3-month basis (gray bars in Fig. 1), momentum, quality and value have shown t...

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