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.
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
Factor Returns: August MTD
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