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 size (small-cap stocks) as the Russell 2000 outperformed the S&P 500 index by 2.1%. The growth factor also turned in a strong month, as it outperformed by 1.4%.

The worst factors over the past month were momentum, which underperformed the S&P 500 by 5.6%, and low-volatility, which lost 7.8% relative to the index. 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), the value factor continues to lead the pack, with 2.3% of relative outperformance. Looking out over the past 12 months, low-volatility and value continue to pace...

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