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

Last week was gangbusters for equities. Hedge fund crowding (which did very well last week) gave back all of last week’s gains (and then some), while trend-following, low vol, and illiquidity had great weeks. All equity styles (except international-size) were either within 1bp or 2bp flat or positive for the week, while both the dollar and commodities fell.

*Our global value composite finally broke its six-week losing streak… both value and commodities are down six out of the last seven weeks!

Top 5 Performers
USEquity          4.36
GlobalEquity          3.63
USIlliquidity          1.22
GlobalLow Vol          0.96
USLow Vol          0.80
Bottom 5 Performers
GlobalSize        (0.48)
GlobalCarry        (0.65)
GlobalCommodities        (0.72)
GlobalDollar        (1.23)
USHF Crowding        (1.73)

Factor Returns

2019 06 10 Markets Ytd
2019 06 10 Equity Styles Us Ytd
2019 06 10 Equity Styles Global Ytd
2019 06 10 Alt Factors Ytd
2019 06 10 Trailing 1