Capturing the Right Factor Fundamentals in Your Portfolio

In the recent webcast,
Factor Fundamentals for Your Portfolio, Michael Hunstad, Head of Quantitative Strategies, Northern Trust Asset Management; and Michael Natale, Head of Intermediary Distribution, Northern Trust Asset Management, outlined the various equity factors that can be used to adjust to different macroeconomic conditions.
For example, during a contraction, low volatility and quality factors have outperformed. In a recovery period, the size and value factors stand out. In an economic expansion, size and value continue to take charge, albeit at a lower pace. Lastly, in an economic slowdown, momentum usually shines.
Equity market factors can exhibit varying performances. In 2020, the momentum factor outperformed, while value and dividend yield factors underperformed by very wide margins.

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