After performing well since the 2009 meltdown, Momentum is having its first noticeably poor year. The magnitude of the underperformance is in line with other past years of poor performance. Materials and Energy have been the main drivers.
Value was the only factor category that worked during July. Being the one factor that currently offers rising interest rate exposure, Value has performed inversely to every other category for most of 2016.
Factor performance was muted prior to the vote; it turned volatile in the remaining days of June following. Momentum was the only factor to work before and after June 23rd — the day of the Brexit vote.