8 November 2017
All factors delivered positive performance during the third quarter. Notably, Momentum factors – both Price and Earnings Momentum – were the best performing factors during the third quarter, with returns of 13.3% and 9.7% respectively. On the other hand, Value factors performed worst (after being the best performers last quarter), although still with positive performance. Quality factors, in particular Debt to Equity, delivered decent positive returns over the period.