The United States wins gold! Both in women’s soccer and in the equity markets last week. Equity styles also showed some pretty strong divergence this week, as top performing styles (momentum, low volatility, quality) outperformed in the US relative to their international counterparts, while bottom performing styles (size and value) lagged in the US relative to their international counterparts. Hedge fund crowding, carry, low volatility and momentum have been correlated recently. Low volatility, trend following, and illiquidity are both hit 2019 highs last week.

Top 5 Performers
USEquity          1.63
GlobalCarry          1.39
GlobalDollar          1.20
GlobalEquity          1.20
USLow Vol          0.76
Bottom 5 Performers
GlobalSize        (0.12)
GlobalValue        (0.56)
USValue        (0.66)
GlobalCommodities        (0.68)
USSize        (0.76)

Factor Returns

2019 07 08 Markets Ytd
2019 07 08 Equity Styles Global Ytd
2019 07 08 Equity Styles Us Ytd
2019 07 08 Alt Factors Ytd
2019 07 08 Trailing
  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