Equities are challenged right now. last week, US/global equities were down about 3%, weighed down by commodities, value, and carry. The carry trade is especially interesting right now… There have been strong unwinds in both the Japanese Yen and Swiss Franc (traditionally the “short” side of the carry trade), but also a similar unwind in “safer” currencies even in emerging markets. Watch the FX markets.

Global equity styles like low volatility, quality, and momentum (the three strong performing equity styles YTD) still fared well last week, suggesting the style investors in the equity markets are either behind–or at least diverging from–equity and bond investors… while the underperforming styles YTD (size and value) seemed to have found a bottom mid-July. This week will be interesting.

Last Week’s Top 5 Performers
GlobalFixed          0.76
GlobalLow Vol          0.59
GlobalQuality          0.29
GlobalTrend          0.28
GlobalMomentum          0.28
Last Week’s Bottom 5 Performers
GlobalCarry        (1.30)
GlobalValue        (1.90)
GlobalCommodities        (1.92)
GlobalEquity        (3.10)
USEquity        (3.13)

Factor Returns: Year-to-date

2019 08 05 Markets Ytd
2019 08 05 Equity Styles Global Ytd
2019 08 05 Equity Styles Us Ytd
2019 08 05 Alt Factors Ytd

Factor Returns: July, 2019

2019 08 05 Markets Mtd
2019 08 05 Equity Styles Global Mtd
2019 08 05 Equity Styles Us Mtd
2019 08 05 Alt Factors Mtd

Factor Returns: Trailing

2019 08 05 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