Equity Factor Report Q4 2024 Performance Analysis

This document is an Equity Factor Report for the fourth quarter of 2024, focusing on the performance dynamics of various factor portfolios managed by Russell Investments. It outlines the performance of the Russell 1000 Index, which achieved a return of 2.7%, contrasting with declines in Developed ex-U.S. and Emerging Markets. The report details how Global Large Cap Growth and Momentum portfolios outperformed their benchmarks, while Low Volatility, Size, Value, and Quality portfolios underperformed. The analysis includes performance dispersion among factor portfolios, noting that Growth and Momentum factors consistently outperformed, while Value and Low Volatility factors lagged. The report also examines the performance of subfactors within the global universe, highlighting strong returns for Growth and Momentum subfactors and negative returns for Low Volatility and Value subfactors. Additionally, it investigates the relationship between bond returns and equity momentum signals, suggesting that bond momentum may complement equity strategies. The report concludes with insights into correlations and active risk levels among the factor portfolios.