Key Takeaways

  • The year-long trend in factor underperformance continued during November. All five factors (value, quality, momentum, low volatility and size) underperformed their benchmarks, with value the worst of the group, as it posted a 4.8% loss for the month.
  • Since the start of 2020, the dynamically weighted factor portfolio has outperformed the S&P 500 by a total of 5.7%.
  • After the latest rebalance, the dynamic factor portfolio is now overweight small-caps and growth while being underweight low volatility and momentum.

November Performance Review

Poor factor performance continued in November, as all five factors underperformed their respective benchmarks (see gray bars in Fig. 1). Losses were led by the value factor, which underperformed by 4.8% and by the size factor, which saw small-cap stocks underperform larger names by 3.4%. In fact, over the past 12 months, value has now underperformed by 12.4%, while the low volatility premium has underperformed by 10.7%. The “best” factors over the past 12 months have been quality and momentum, which “only” lost 1.0% and 2.6%, respectively, over that period.

Fig. 1 – Recent Performance of Factors

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Multi-Factor Portfolio Performance Review

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