Factor performance review at a glance
The third quarter of 2019 continued to favour Momentum factors, with Price Momentum (+10.1%) the clear winner, and Earnings Revisions (-2.0%) taking a breather. After Quality factors ended strongly in 2018, 2019 has continued to see a reversal with Return on Equity (RoE) (-12.4%) performing poorly over the quarter, and Debt to Equity (1.7%) performing fairly neutrally. Value factors were generally neutral in Q3 with Price to Book (+1.1%) performing better than Dividend Yield (-3.2%).