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February Factor Commentary

Key Takeaways

  • Factor performance continued its trends from December into January, with the value and quality factors performing best, and growth and size (small-cap stocks) performing worst.
  • The outperformance of value relative to growth has reached levels not seen since early 2017, the last time the Fed was raising rates.
Our dynamically weighted factor portfolio underperformed the S&P 500 by 0.2% in January. Since the start of 2020, this strategy has outperformed the S&P 500 by a total of...

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