January Factor Commentary

Key Takeaways

  • Performance in factors shifted over the past month, as prior laggards (value and low-volatility) did best while past winners (growth) underperformed.
  • Our dynamically weighted factor portfolio saw slight underperformance of 0.3% in December. Since the start of 2020, this strategy has outperformed the S&P 500 by a total of 5.0%.
  • After the latest rebalance, the dynamic factor portfolio is now overweight growth and momentum while being underweight size (small-cap) and value.
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