Factor & Style Index Report - Q3 2024

Quarterly Report covering US Pure Factor and Style Performance and attribution analysis - Q3 2024

IN THIS REPORT

Pure Factors Q3: Low Beta is the top performing factor followed by Size. Momentum underperforms (page 3)

Style Q3: Value dominates Growth for large caps. Value modestly outperforms Growth for small caps (page 5)

Growth vs Quality Q3 : Pure Quality outperforms Growth for large caps (page 6)

Value Style vs Value Q3: Value Style outpaces Pure Value for large caps (page 7)

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‍Insights: Springtime for factor investing

What are the prospects for factors after a long winter? (page 8)

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