What's happening to Quant? Factor Performance and Valuations

In this weekly publication, we show how factors have been performing at a regional level and globally. The purpose of this report is to provide an up-to-date snapshot of how factors have been performing on a short-term horizon based off our daily factor returns database, and to track what styles are and are not working during this turbulent period in markets. We look at factor performance across Value, Momentum, Quality, Growth, Size and Risk styles. All style returns presented in this document are in USD and are calculated on a cap-weighted, long-short basis. Sector, region, size neutral for Value, region and size neutral for Momentum, Quality, Growth and Risk, and region neutral for Size. We also look at valuations of various styles around the globe and see where these currently lie relative to their long-term history. Market statistics for each region are also included.