Equity markets finished the month strong, complemented by strength in dollar, commodities, and trend. Non-defensive equity styles were all losers on the week. Fixed income is having a banner year as interest rates reach near-term lows.

Trend has taken the reigns from Carry as the best performing alternative factor on a risk-adjusted basis. The spread between trend and carry last week was over 4% and highlights a trend that has been quite cyclical since the crisis. The chart below shows a rolling one-year correlation between carry and trend over the last 25 years. Notice we are at a near-term bottom.

Image 1
Rolling 1-year correlation (daily) between Carry and Trend factors

Next week we will explore the rise of smart beta and its affect on style correlations such as value and size. Stay tuned…

Last Week’s Returns


Factor Returns: Year-to-date

2019 09 03 Markets Ytd
2019 09 03 Equity Styles Us Ytd
2019 09 03 Equity Styles Global Ytd
2019 09 03 Alt Factors Ytd

Factor Returns: August MTD

2019 09 03 Markets Mtd
2019 09 03 Equity Styles Us Mtd
2019 09 03 Equity Styles Global Mtd
2019 09 03 Alt Factors Mtd

Factor Returns: Trailing

2019 09 03 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