Below are my latest factor return charts. I update these on quarterly intervals but the underlying data, from Ken French’s Data Library, lags by a month.
Not much to write home about this quarter. The divergence over the past few years between the Momentum and Market factors and the remaining, more value-oriented factors (Value (Price/Book), Operating Profitability, Conservative Investment) remains striking.
The Size factor has also performed well year-to-date. May was a particularly good month for Size (+4.78%) and Momentum (+4.02%). In traditional “style box” terms, this corresponds to small cap growth stocks.
