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QuantFocus Clarity Through AI

QuantFocus Clarity Through AI

Key Takeaways October was a difficult month for factors. Four of the five factors underperformed, with value losing 4.6% in October. The dynamically weighted factor portfolio has continued to outperform the S&P 500, as it has outperformed the broad index by 0.5% year-to-date. For November,...

November Factor Commentary

Factor Investing: Part 3 - Multi-Factor Portfolios

Be sure to check out Part 1 and Part 2 to familiarize yourself with the Five Factors Key Takeaways: Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to...

Factor Investing: Part 2

KEY TAKEAWAYS: * Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over the past year, the size premium (small-cap stocks over large-cap stocks) led the way....

Factor Investing: Part 1

Key Takeaways: Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over the past year, the size premium (small-cap stocks over large-cap stocks) led the way. In...

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