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 each of the six factors over the past month is shown as the gray bars in Fig. 1.

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Looking back over a 3-month period, low-volatility has still performed best, as it outperformed the S&P 500 by 3.3%. The low-volatility factor is also the best performer over the past 12 months, as it has outperformed by 10.4% over that span. Size continues to be a laggard, as smal...

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