A couple reminders:

  1. The equity styles are market neutral, meaning these returns are on top of equity market returns
  2. A csv download will be made available for those who want to show trailing returns in another format

Low Vol and Quality each had strong weeks last week–particularly globally–while size and value were again the under-performers. International factor-based portfolios should have held up well. Commodities, which have also struggled over the last year, also fell in sympathy with the broader markets. Most alternative factors were up on the week, with trend-following being the particular stand-out.

Last week’s top and bottom performers:

Top 5 Performers (%)
GlobalMomentum          1.21
GlobalLow Vol          1.10
GlobalQuality          0.98
GlobalTrend          0.84
USLow Vol          0.77
Bottom 5 Performers (%)
USEquity        (1.19)
GlobalCommodities        (1.25)
USSize        (1.47)
USValue        (1.52)
GlobalValue        (1.90)

Factor Returns

2019 05 28 Markets Ytd
2019 05 28 Equity Styles Us Ytd
2019 05 28 Equity Styles Global Ytd
2019 05 28 Alt Factors Ytd
2019 05 28 Trailing