Key Takeaways

  • 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 500 by 7.6%.
  • After the latest rebalance, the dynamic factor portfolio is now overweight value and low-volatility and is underweight quality and growth.
  • Our stock selection model had a very strong April as a basket of the favored stocks from the model outperformed the S&P 500 by 2.96%. All five of the custom factors that make up the stock selection model outperformed the S&P 500 in April.
  • Our market valuation methodology continues to see equities as overvalued relative to investment grade fixed income. As a result, we expect muted returns and sustained volatility to continue in the equity market.

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 value, which earned 3.1% over the S&P 500, low-volatility (+2.8% relative to the S&P 500) and quality (+1.8% relative)...

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