By Philip Lawlor, head of Global Markets Research
Not surprisingly, factor performance in May captured the spirited turn in investor confidence amid early signs that the collapse in economic activity from the pandemic shock may be bottoming out.
In a notable about-face, markets staged a powerful rotation into long-battered smaller cap (Size) stocks, particularly in the UK and Asia Pacific ex Japan, which both outdistanced their broad market indexes by nearly four percentage points. Value also outperformed (albeit more modestly) in most markets.
These gains came at the expense of Low Volatility and Momentum, which