Monty’s year-end wrap up of Factor Performance was released last month, and if you missed it, you can access the full report here

The tl;dr version is:

  • Factor portfolio returns dispersion is very significant across vendors, even for the same factor – it is essential to understand both the selection and the weighting process to really understand what you are investing in
  • Even allowing for some dispersion across styles, Value was an unusual laggard in a bull market year
  • While the market remained extremely strong for most of the year it is critically important to stay disciplined and remain diversified by harvesting all available factor premia, including recent laggards like Value and Low Vol. The long-term has borne out the value of smart beta in providing systematic and scientific risk mitigation as well as incidental exposure to Size factor premia

For any questions, reach out to our Client Specialist, Teun Lucas.