The value/size trade continues…
As you may recall, a large spike in volatility about two months ago began what looks to be at least a short-term shift in factor preferences. Value and size–the laggards throughout much of the last 5+ years–have begun to trump momentum… and it has not just been momentum that has struggled (global momentum is down every day this month, thus far), but also defensive factors like low volatility and quality as well.
Such a long trend (in equity style, mind you) is spilling into broader markets, punctuated by the precipitous fall in the cross-asset trend factor.
Last Week’s Returns
Factor Returns: Year-to-date
Factor Returns: Month-to-date
Factor Returns: Trailing
Notes to performance
- Past performance does not guarantee future returns
- The factor returns may not correspond to the factor returns inside the factorE application.
- The equity styles are market neutral, meaning these returns are on top of equity market returns
- A csv download will be made available for those who want to show trailing returns in another format