Comparing The Year-To-Date Damage For US Equity Factor Returns
There’s been no place to hide for US equity beta strategies this year, but the distribution of pain varies widely from a risk-factor perspective, based on a set of representative exchange-traded funds. The factor funds with the softest haircuts year to date: large-cap growth, momentum and low-volatility. By contrast, the various flavors of small cap , along with mid-cap value, have suffered the most.
