“Factors” at the half-way mark: Performance Dispersion …

With H1, 2017 now wrapped up, here is what Factors Performance looked like to the mid-year point, contrasted with traditional benchmark ETFs.

Bottom Line: Differentials can be significant on account of the Factors themselves, resulting sector allocation based on their screens (see US where Index and Min Vol fared similarly as Tech’s share of min vol rose on account of low volatility – which picked up in June, however…); respectively other elements such as actual methodology in the Yield factor for instance (ie: high dividend yielders versus dividend growers).

Overall:

  • Momentum  – ahead internationally;
  • Quality – ahead in Canada;
  • as well as in the US (where it is significantly overweight technology … )
  • Momentum ahead of Value – most notably on the International side, while ahead but still lagging benchmark index in US, and neck and neck in Canada
  • Multi-Factors – faring well overall
  • Globally – BUT – looking at Vanguard’s Actively Managed (Factors) ETFs: Globally, Min Vol was ahead, while Value, lagging YTD still leads the performance derby on a trailing 1 yr basis (29.67% versus Liquidity at 20.62%)

International / Global:

factors at the half way mark international global

United States:

Factors at the half way mark US

Canada:

factors at the half way mark Canada

Which Factor(s) will come to dominate H2, 2017?

What are you doing with Factors?

How are they helping you in your portfolio construction efforts?

Your thoughts please – yves@etfinsight.ca

 

 

 

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