Daily Archives: Jun 29, 2018 at 07:11 am EST

Research Review | 29 June 2018 | Factor Investing

When Does Cap-Weighting Outperform? Factor-Based Explanations
Roger G Clarke (Ensign Peak Advisors), et al.
May 1, 2018
Equity mutual fund performance can be partially explained by commonly-followed equity market factors, and the proposition that fund managers in the aggregate have more equally-weighted positions that the capitalization weighted market. Currently, the aggregate mutual fund’s active return is positively associated with the performance of pure Momentum, Small Size, and Profitability factors, and negatively associated with the performance of pure Value and Low Beta factors.
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Macro Briefing: 29 June 2018

Europe reaches deal on immigration: BBC
US Energy Secretary: oil market will be “stressed” by new Iran sanctions: The Hill
Q1 GDP growth for US revised down to 2.0%: Reuters
US jobless claims up for first time in four weeks: MarketWatch
Kansas City Fed mfg index reflects continued strength in June: Bond Buyer
St Louis Fed’s Bullard prefers to leave US rates on hold: MNI
US crude oil benchmark jumps to highest level since late-2014: CNN Money