Factor & Style Index Report - Q2 2024

Quarterly Report covering US Pure Factor and Style Performance and attribution analysis - Q2 2024

IN THIS REPORT

Pure Factors Q2: Momentum continues its 2024 outperformance but Value falters. Size, Beta and Quality lag behind (page 3)

Style Q2: Growth dominates Value for large caps. Growth modestly outperforms Value for small caps (page 5)

Growth vs Quality YTD: Growth continues to dominate Pure Quality for large caps (page 6)

Value Style vs Value YTD: Pure Value outpaces Value Style for large caps (page 7)

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Insights: The Trouble with Composite Factors

How composite factors lead to poor outcomes for multifactor indexes and how factor exposure targeting can remedy this (page 8)

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