Factor Strategy
Quantitative Strategy
Factor Strategy
Quantitative Strategy
- Factor Strategy
- Factor Strategy
January 2023 Factor Commentary
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 value, which outperformed the S&P 500 index by 3.0%. The quality, low-volatility and momentum factors also all outperformed over...
- Factor Strategy
December 2022 Factor Commentary
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...
- Factor Strategy
November 2022 Factor Commentary
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...
- Factor Strategy
October 2022 Factor Commentary
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 5.5%. Quality and value also turned in strong performances over...
- Factor Strategy
September 2022 Factor Commentary
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 low-volatility, which outperformed the S&P 500 index by 2.7%. Value and momentum also turned in strong performances over the...
- Factor Strategy
August 2022 Factor Commentary
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 factors were growth and size (small-caps), with each factor outperforming by 2.2%. The worst factors over the past month were low-volatility...
- Factor Strategy
July 2022 Factor Commentary
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, with the S&P 500 Growth index outperforming S&P 500 Value by 3.0%. The low-volatility factor just barely beat...
- Factor Strategy
June Factor Commentary
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....
- Factor Strategy
May Factor Commentary
Of the factors we track, value and low volatility showed the best performance over the past month, while the growth factor underperformed.After struggling in March, our dynamic factor portfolio rebounded strongly in April, outperforming the S&P 500 by 2.7%. Since the start of 2020, this strategy has outperformed the S&P...
- Factor Strategy
April Factor Commentary
Of the factors we track, momentum and low-volatility showed the best performance over the past month. The small-cap factor, after a strong February, reverted to its trend of recent underperformance in March.Our dynamic factor portfolio underperformed the S&P 500 by 0.5% in March. Since the start of 2020, this strategy...
