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August 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 factors were growth and size (small-caps), with each factor outperforming by 2.2%. The worst factors over the past month were low-volatility (down 2.8% vs. the S&P 500) and value. Performance for each of the six factors over the past month is shown as the gray bars in Fig. 1.

Fig. 1 – Recent Performa...

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