The Equity factor had its best month on record. Within equities, there was a rotation out of Momentum and into Value in November.

A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.

Despite a strong first half of the month, global Equity markets sold off in the back half due to a resurgence of COVID-19 cases globally.

The best performing factor in September was Equity Short Volatility, supported by a slight monthly decline in the VIX paired with a large down move for global Equity markets.

It was another strong month for global stocks, pushed higher in part by optimism around COVID-19 vaccine development and dovish central bank policy in the U.S. Within equities, certain long-short equity style factors, such as Value, Low Risk, and Crowding, struggled.

Despite a rising rate of increase in new COVID-19 cases and increasing U.S.-China tensions, global equity markets continued their ascent. Within global stocks, the multi-year return spread between Momentum and Value grew wider.

The global equity market continued its rally in June despite the rising COVID cases in the U.S. and increased U.S.-China tensions. Additionally, a reversal around June 8th affected all five equity style factors.

In May, optimism surrounding the restart of the global economy and partial easing of COVID-19 lockdowns benefited certain factors, such as Equity and Commodities, and hurt others, such as Value and Low Risk.

Global equity markets recorded a strong recovery in April. What were the factor winners and losers?

In this double issue of the Venn Factor Performance Report, we discuss factor returns for the month and the last week of March.