July has been an overall positive month for equities with Momentum and Growth equity factors largely outperforming all other listed factors. Meanwhile, Dividend and Size equity factors have lagged month-to-date as they struggle to breach 2.0%
Comments on this week’s report:
- Over the trailing three-months, Momentum and Low-Volatility equities have largely outperformed all other listed factors, while Dividend equities trail.
- Year-to-date all equities have experienced near 20% returns (other than Dividend equities) with Growth factor equities experiencing the largest return of 25.2%.
- Over the trailing 1-year Low-Volatility equities have largely outperformed all other listed factors with an 18.1% return. Over the same time frame, Dividend equities have significantly underperformed with a 6.1% return.
- Over the trailing 3-years Growth and Momentum equities have outperformed the S&P 500 (SPY) by a near 4% annualized rate. Meanwhile, all other listed equity factors have underperformed the S&P 500 with Dividend and Value equities experiencing the greatest margin of underperformance.
- Over the trailing 5-year period, Value equities had the greatest degree of underperformance, trailing the S&P 500 by nearly a 3.0% annualized rate. However, Momentum equities had the greatest degree of outperformance, exceeding the S&P 500 by nearly a 4.4% annualized rate.