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While coronavirus-induced volatility plagued equity markets in
March, we closely monitored daily factor and style model
performance with weekly performance reviews of
daily style exposures. Volatility has since settled down, though
still in excess of levels at the start of the year. Given these
unusual times, with the COVID-19 pandemic wreaking havoc from a
health and financial perspective, we extend our review from both a
macro and factor view during the first six months of this year.
Large caps were favored over small caps through June, while the
prolonged growth cycle over value strategies benefited further from
a sharp bounce since March
Price Momentum and Historical Growth factors, such as 24-Month
Active Return with 1-Month Lag and 1-yr Change in Sales,
respectively, were consistent outperformers, while Deep Value
measures suffered, particularly those based on analyst estimates,
with Leading 12 Month EBITDA/EV the weakest of the group
The Historical Growth Model topped all other style models,
though the Price Momentum model has been making a comeback since
March, while the Deep Value Model sat at the opposite extreme
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