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.

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Looking back over a 3-month period (blue bars in Fig. 1), size and growth have seen the best performance. Although the size factor has seen strong performance in recent months, it still lags the other factors, as it has underperformed the overall index by 8.1% on a trailing 12-month basis.

Multi-Factor Portfolio Performance Review

We track a dynamic multi-factor portfolio t...

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