Last week was risk-off. Equities down, value and size down (again), and traditional risk-off factors (rates, dollar, low vol, trend) did well. The stand-out was FX carry, which has historically been a risk-on investment. Correlations between value and momentum have turned strongly negative, while US equities continue to outperform global equities.
|Top 5 Factors Last Week|
|US Low Vol||0.45|
|Bottom 5 Factors Last Week|
Factor Returns: Year-to-date
Factor Returns: August MTD
Factor Returns: Trailing
Notes to performance
- Past performance does not guarantee future returns
- The factor returns may not correspond to the factor returns inside the factorE application.
- The equity styles are market neutral, meaning these returns are on top of equity market returns
- A csv download will be made available for those who want to show trailing returns in another format