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 low-volatility, which outperformed the S&P 500 index by 2.7%. Value and momentum also turned in strong performances over the past month. The worst factor over the past month was growth (down 1.8% vs. the S&P 500). Performance for each of the six factors over the past month is shown as the gray bars in Fig. 1.