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.

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Looking back over a 3-month period (blue bars in Fig. 1), growth has seen the best performance, while quality, momentum and value have all lagged. On a trailing 12-month basis, the size factor continues to lag, as it has underperformed by 6.9%, but growth has also seen poor performance over the past year, underperforming the S&a...

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