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Financial Research

Factor Commentary

Of the factors we track, momentum and low-volatility showed the best performance over the past month. The small-cap factor, after a strong February, reverted to its trend of recent underperformance in March.Our dynamic factor portfolio underperformed the S&P 500 by 0.5% in March. Since the...

April Factor Commentary

March Factor Commentary

FACTOR PERFORMANCE REVIEW Of the six factors we track (growth, quality, low-volatility, momentum, size, and value) in our multi-factor strategy, the low-volatility factor enjoyed the best performance over the past month, turning in 4.7% relative to its benchmark. The small-cap factor also had a good month, earning 3.8% relative to...

February Factor Commentary

Factor performance continued its trends from December into January, with the value and quality factors performing best, and growth and size (small-cap stocks) performing worst.The outperformance of value relative to growth has reached levels not seen since early 2017, the last time the Fed was raising rates.Our dynamically weighted factor...

January Factor Commentary

Performance in factors shifted over the past month, as prior laggards (value and low-volatility) did best while past winners (growth) underperformed.Our dynamically weighted factor portfolio saw slight underperformance of 0.3% in December. Since the start of 2020, this strategy has outperformed the S&P 500 by a total of 5.0%.After the...

  • Factor Commentary
December 21, 2021

Market Valuation

We use a residual income model to compute an intrinsic value for the market. This model considers forecasts for future earnings and for long-term earnings growth to estimate the equity risk premium for the S&P 500.We combine the equity risk premium with the risk-free rate to produce an equity yield,...

  • Factor Commentary
December 14, 2021

December Factor Commentary

The year-long trend in factor underperformance continued during November. All five factors (value, quality, momentum, low volatility and size) underperformed their benchmarks, with value the worst of the group, as it posted a 4.8% loss for the month.Since the start of 2020, the dynamically weighted factor portfolio has outperformed the...

  • Factor Commentary
November 9, 2021

November Factor Commentary

October was a difficult month for factors. Four of the five factors underperformed, with value losing 4.6% in October.The dynamically weighted factor portfolio has continued to outperform the S&P 500, as it has outperformed the broad index by 0.5% year-to-date.For November, the dynamic factor portfolio is overweight momentum while being...

  • Factor Commentary
November 2, 2021

Factor Investing: Part 3 - Multi-Factor Portfolios

Be sure to check out Part 1 and Part 2 to familiarize yourself with the Five Factors :Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over...

  • Factor Commentary
October 26, 2021

Factor Investing: Part 2

:Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over the past year, the size premium (small-cap stocks over large-cap stocks) led the way.In this report we...

  • Factor Commentary
October 19, 2021

Factor Investing: Part 1

:Our Factor Investing Model will be based on 5 common factors (value, quality, low volatility, momentum and size). During 3Q 2021, momentum did well while the other factors were flat to down. Over the past year, the size premium (small-cap stocks over large-cap stocks) led the way.In this report we...