Equity markets continued their climb, boosted by value and quality. 21-day volatility was more settled, though it appears there continues to be a longer-term upward trend in the volatility of equity factors.
Trend following had another epic week of negative performance, probably due to the reversal in global rates. The US 10-year Treasury yield bounced hard off of the ~1.5 bottom that has been set over the last two months. The US Dollar fell in sympathy with rates, a move that feels somewhat familiar over the last year, even though the two seemingly intertwined assets have been essentially uncorrelated…
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