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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.

2019 10 13 Rolling Volatility Z Score
Z-score of rolling 21-day volatility of equity factors.
Source: factorE, as of 10/12/2019

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

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Factor Returns: Year-to-date

2019 10 13 Markets Ytd
2019 10 13 Equity Styles Us Ytd
2019 10 13 Equity Styles Global Ytd
2019 10 13 Alt Factors Ytd

Factor Returns: Month-to-date

2019 10 13 Markets Mtd
2019 10 13 Equity Styles Us Mtd
2019 10 13 Equity Styles Global Mtd
2019 10 13 Alt Factors Mtd

Factor Returns: Trailing

2019 10 13 Trailing

Notes to performance

  1. Past performance does not guarantee future returns
  2. The factor returns may not correspond to the factor returns inside the factorE application.
  3. The equity styles are market neutral, meaning these returns are on top of equity market returns
  4. A csv download will be made available for those who want to show trailing returns in another format