2Q18 US Factor Returns

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.

2Q18_Factor_Averages
Source: Ken French’s Data Library
2Q18_Market
Source: Ken French’s Data Library
2Q18_Size
Source: Ken French’s Data Library
2Q18_Value
Source: Ken French’s Data Library
2Q18_Momentum
Source: Ken French’s Data Library
2Q18_Profitability
Source: Ken French’s Data Library
2Q18_Investment
Source: Ken French’s Data Library

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