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
Global Fixed           0.89
Global Dollar           0.67
Global Trend           0.51
Global Carry           0.47
US Low Vol           0.45
Bottom 5 Factors Last Week
US Equity         (1.03)
Global Equity         (1.17)
US Value         (1.18)
Global Size         (1.23)
Global Value         (1.38)

Factor Returns: Year-to-date

2019 08 17 Markets Ytd 2
2019 08 17 Equity Styles Us Ytd 1
2019 08 17 Equity Styles Global Ytd 1
2019 08 17 Alt Factors Ytd 2

Factor Returns: August MTD

2019 08 20 Markets Mtd 2
2019 08 20 Equity Styles Us Mtd
2019 08 20 Equity Styles Global Mtd
2019 08 20 Alt Factors Mtd 2

Factor Returns: Trailing

2019 08 17 Trailing

Notes to performance

  1. Past performance does not guarantee future returns
  2. The factor returns may not correspond to the factor returns inside the factorE application.
  3. The equity styles are market neutral, meaning these returns are on top of equity market returns
  4. A csv download will be made available for those who want to show trailing returns in another format