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July 2022 Factor Commentary

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 factor was growth, with the S&P 500 Growth index outperforming S&P 500 Value by 3.0%. The low-volatility factor just barely beat the benchmark, earning 0.1% over the S&P 500. The other four factors all underperformed, with momentum and value each underperforming by over 2%. Performance for eac...

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