By Philip Lawlor, head of Global Investment Research
Equity factor performance has been riding a risk-on/risk-off roller coaster in recent months. Though risk appetite has revived since the March meltdown, an undercurrent of defensiveness persists.
Spirits ran high in May as economies began to reopen and signs of recovery emerged. Markets staged a strong rotation into long-battered smaller cap (Size) stocks for the month, mostly at the expense of Low Volatility and Momentum.
But the risk rally hit a speed bump in June, as a fresh flare-up in coronavirus cases undermined hopes for a quick