The past five years in US markets have been nothing if not eventful. They’ve featured every macro regime of the economic cycle, where markets weathered a global pandemic, quantitative tightening and easing, inflation, and both low and rising rate environments.
And while US large cap equity indexes have generally fared well over the past five years, the Russell 1000 Invesco Dynamic Multifactor Index has posted standout returns — shedding light on the potential value of tactically allocating to factors throughout economic cycles.
US large caps did well — but factor tilting gave them a boost
The Russell 1000 Index — an unbiased barometer for the broad US large cap segment — has largely shrugged off the ever-shifting macroeconomic backdrop since 2017, returning an annualized 9.7% for the period. However, while this performance is far from weak, the Russell 1000 Invesco Dynamic Multifactor Index returns have almost consistently outstripped those of the Russell 1000 over the past five years, outperforming by a cumulative +4,958 bps.
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