(Including monthly returns for May)

  1. The equity styles are market neutral, meaning these returns are on top of equity market returns
  2. A csv download will be made available for those who want to show trailing returns in another format

Last week capped off a difficult month for equity markets. Bond yields fell and “cyclical” styles like size, value, and commodities underperformed. Standout performers last week were low volatility and momentum–a style that has done well as of late–posted solid performance. Hedge fund crowding was the standout performer for the week, while value was the standout underperformer.

Last week’s top and bottom performers:

Top 5 Performers
USHF Crowding          1.03
USMomentum          0.84
GlobalFixed          0.64
GlobalMomentum          0.62
GlobalLow Vol          0.36
Bottom 5 Performers
USIlliquidity        (1.25)
GlobalCommodities        (1.27)
USValue        (1.88)
GlobalEquity        (1.89)
USEquity        (2.59)

Factor Returns

2019 06 03 Markets Mtd
2019 06 03 Equity Styles Us Mtd
2019 06 03 Equity Styles Global Mtd
2019 06 03 Alt Factors Mtd 1
2019 06 03 Markets Ytd
2019 06 03 Equity Styles Us Ytd
2019 06 03 Equity Styles Global Ytd
2019 06 03 Alt Factors Ytd
2019 06 03 Trailing 1