Equity Factor Strategy

The reversal in Momentum has been a key driver of the ‘Quant Quake’. 

Longer term, the performance of Momentum can be seen as a window on shifts in the investment regime, and associated with a change in trend of the Growth and Value factors.

The valuation levels of Value are attractive, as is the Size factor - Leading to us upgrading the US Size factor to favour Small size vs. Large size.

The Global Size factor also looks compelling: one of its strongest relationships is with EM equities - which we expect to outperform.