March Factor Commentary

Factor Performance Review

Of the six factors we track (growth, quality, low-volatility, momentum, size, and value) in our multi-factor strategy, the low-volatility factor enjoyed the best performance over the past month, turning in 4.7% relative to its benchmark. The small-cap factor also had a good month, earning 3.8% relative to its benchmark; the strong performance for small-caps followed a weak January, when the small-cap factor underperformed by 4.5%. Value also outperformed over the pa...

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