Factor performance review at a glance
The third quarter of 2018 once again saw some interesting factor performance. In a characteristic risk-off environment, Price Momentum (-6.7%) continued to struggle, while Earnings Revisions gave up its positive spread from Q2 to also underperform (-3.7%) during Q3. On the positive side, defensive factors such as Dividend Yield (+5.6%), Debt to Equity (+3.0%) and Return on Equity (+2.4%) all generated positive return spreads over the prior three months.