We will be posting factor returns on a weekly basis here on this blog.

The goal is to help our users to understand what may be driving performance of their portfolios and assets.

A couple housekeeping items:

  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

We look forward to your feedback!

Last week’s top and bottom performers:

Top 5 Performers (%)
GlobalMomentum                  0.70
GlobalLow Vol                  0.67
USHF Crowding                  0.58
USLow Vol                  0.47
USMomentum                  0.47
Bottom 5 Performers (%)
GlobalCarry                (1.37)
GlobalCommodities                (1.47)
GlobalValue                (1.68)
USEquity                (2.49)
GlobalEquity                (2.53)

Factor Returns

2019 05 13 Markets Ytd
2019 05 13 Equity Styles Us Ytd
2019 05 13 Equity Styles Global Ytd
2019 05 13 Alt Factors Ytd
2019 05 13 Trailing

Download Trailing Returns CSV