We have not changed our Factor strategy since early August.
We stay Neutral in Defensive/Cyclical, as we have not yet received a sign that a rotation into Defensive is on the cards. At the same time, we find the Cyclical Factor ‘too late to harvest’.
The high inflation underpins Momentum. Still, we hold the factor in Neutral due to the weaker business cycle.
Both Value, Low Vol, and the macro factor Rate&Credit Sensitive continue in OW. However, Value appears to take the lead with a rising probability harvest score.
Size is also in an OW position, as inflation and relative growth to Large caps are tailwinds.
The still lower real rates have contributed to the continued positive performance for LT Growth. A weaker Digital economy, ‘priced to perfection’ and risk of higher rates keep the harvest probability lower than other factors. We keep our UW position despite the short-term loss it has caused.