The Importance of Being Large-Cap
The performance of U.S. equity factors during Q2 was lackluster, with most underperforming the S&P 500, as seen in Exhibit 1. While Minimum Volatility and Low Volatility were notable exceptions, Value, Quality, High Beta, and Momentum all lagged the benchmark – in large part because of their tilt toward smaller companies. Since most factor indices are not cap-weighted, their out- or under-performance tends to parallel that of the equal-weighted 500.
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