DFEV - Equity Factor Report - Q1 2024: Momentum Strategies Shine
2024-04-26 16:43:00 ET
Summary
- Momentum strategies outperformed in Q1 2024 due to strong investor sentiment and economic strength, with the MSCI All Country World Index rising by 8.3%.
- Russell Investments' Factor Portfolios like Global Large Cap Growth, Momentum, and Quality outperformed the MSCI ACWI, while Global Large Cap Value, Size, and Low Volatility portfolios underperformed.
- Performance dynamics varied across factors and regions, but Momentum consistently outperformed and Size consistently underperformed, while a rotation from Growth to Value occurred throughout the quarter.
Overview
Strong investor sentiment and continued economic strength led momentum strategies to outperform in Q1 2024, with the MSCI ACWI Index up by 8.3% in the first quarter. During the quarter, investors did not express overt concern over the prospect of the U.S. Federal Reserve (Fed) holding higher interest rates over a longer period and continued the upward trend in stock prices from the prior quarter. The MSCI Emerging Markets Index gained less (+7.9%) than the U.S. and MSCI World ex-U.S. Indices (+12% and +10.6%, respectively). While the Momentum factor sustained its outperformance throughout the quarter, we observed a rotation out of Growth and into Value across all regions starting in February.
When considering Russell Investments’ Factor Portfolios (RFPs), the Global Large Cap Growth, Momentum and Quality outperformed the MSCI ACWI, with positive excess returns of +1.98%, +3.8%, +0.4%, respectively. Conversely, the Global Large Cap Value, Size and Low Volatility portfolios underperformed, with negative excess returns of -0.5%, -2.3% and -1.5%....
Equity Factor Report - Q1 2024: Momentum Strategies Shine