Index Research
Pure Factors
Factor & Style Index Report - Q3 2023

Factor & Style Index Report - Q3 2023

Quarterly Report covering US Pure Factor and Style Performance and attribution analysis - Q3 2023.


Pure  Factor Returns: Quality continues to lead the way in 2023 while low Beta lags  behind

Pure  Factor Performance Attribution & Correlation shows stock specific  (residual) returns were important in Q3

Despite  Value style outperforming Growth style in Q3, Growth leadership remains  dominant YTD

Growth  style has benefited from its high beta exposure YTD

Insights:  Why have Style Indexes and Pure Factors delivered significant  differences in performance profiles over the course of 2023?

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