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

Last week saw defensive stocks outperform aggressive stocks and larger stocks outperform smaller stocks, both in the US and globally. Alternative factors like trend, the US dollar, FX carry and illiquidity all had slightly positive returns, while value–the worst performing equity style over the last five years–saw the biggest drop of all of the equity styles.

Last week’s top and bottom performers:

Top 5 Performers (%)
GlobalCommodities          1.33
GlobalMomentum          0.99
GlobalLow Vol          0.96
GlobalQuality          0.74
USLow Vol          0.70
Bottom 5 Performers (%)
USEquity        (0.86)
GlobalSize        (1.18)
USSize        (1.20)
USValue        (1.44)
GlobalValue        (1.83)

Factor Returns

2019 05 19 Markets Ytd
2019 05 19 Equity Styles Us Ytd
2019 05 19 Equity Styles Global Ytd
2019 05 19 Alt Factors Ytd
2019 05 19 Trailing