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Coronavirus strikes the markets

Last week was a devastating week for global risk assets. But how did factors perform? A very interesting story, actually…

Low Vol

Low vol has been a star over the past 5 years… in particular, this last year, when most other equity factors failed to deliver. It may not surprise you, then, to know that low vol took the brunt of last week’s damage. Take a look at this MTD chart of factors:

2020 02 29 Equity Styles Us Mtd
Source: factorE, as of 2/29/2020

HF Crowding

The other standout factor this week is our hedge fund crowding factor, which had a VERY strong showing relative to US equities. See our chart below:

2020 02 29 Alt Factors Mtd
Source: factorE, as of 2/29/2020

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Last Week’s Returns

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Source: factorE, as of 2/29/2020

Factor Returns: Year-to-date

2020 02 29 Markets Ytd
2020 02 29 Equity Styles Us Ytd
2020 02 29 Equity Styles Global Ytd
2020 02 29 Alt Factors Ytd

Factor Returns: Month-to-date

2020 02 29 Markets Mtd
2020 02 29 Equity Styles Us Mtd 1
2020 02 29 Equity Styles Global Mtd
2020 02 29 Alt Factors Mtd 1

Factor Returns: Trailing

2020 02 29 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