2026 Q1 Equity Factor Performance Analysis

This document is an equity factor report for the first quarter of 2026, detailing the performance dynamics of Russell Investments' Factor Portfolios. It outlines how U.S. large caps faced pressure while smaller-cap and non-U.S. equities performed better, with benchmarks showing a range of -4.2% to +0.9%. The report highlights that Value led performance with a U.S. large-cap excess return of +4.06%, while Growth lagged across all regions. The analysis indicates that Value outperformed in all six regions, and Momentum was strongest outside the U.S. Quality underperformed in most regions except Emerging Markets. The report also discusses the shifting correlations among factors, noting that Low Volatility became negatively correlated with Growth, Momentum, and Quality by the end of the quarter. Additionally, it reflects on the challenges faced by the Quality factor amidst a market favoring Value and Momentum, particularly in the context of geopolitical uncertainties and economic conditions.