Despite one of its worst five-day performance stretches in early October, the Momentum factor bounced back nicely and performed well the rest of the month.
The Short Interest Ratio performs well as a factor; on both the long and short sides.
Value and Profitability performed well during August. Market Cap was a surprise underperformer given the stock volatility.
Energy And Materials Driving Momentum Volatility
Looking at year-to-date factor performance, Sentiment is the best performing; Momentum and Growth have also performed well.
Factor performance reversed course again in April, with the spike in oil driving most of the volatility.
Factor performance reversed course in February, with most factors performing the opposite of how they have over the last six months.
Factor performance in January was very similar to how the year ended, with Momentum doing very well and Value struggling.
Size produced the biggest differential, followed by Profitability, Quality, and Momentum factors.
We additionally compare factor results YTD to that of 2013 YTD; shift to Large Caps should have staying power.