Profitability—one of the worst-performing style factors in Axioma’s US All-Cap and US Small Cap medium-horizon fundamental models—posted negative returns at the one-week, one-, three- and six-month horizons in both models. The style factor’s cumulative six-month return dipped to -2.16% and -3.42%, in the US All-Cap and Small Cap models, respectively. Profitability’s return in the Small Cap model, was even lower than that of Volatility, which dominated most other markets. However, Profitability fared well in the other geographies Axioma tracks closely, particularly in Emerging Markets, where the factor’s six-month return reached +3%—the highest positive return among the style factors in Axioma’s Emerging Market medium-horizon fundamental model.
In contrast, after a miserable seven months, Medium-Term Momentum has seen a strong recovery over the past month, gaining more than 3% in both US All-cap and Small Cap, surely a relief to momentum-based investors.
See graph from the US Small Cap Equity Risk Monitor as of 30 May 2019: