Which equity factors should we tilt?

After a chaotic year for equity markets in 2018, we take a look at the performances of equity factors in the United States and Europe. Since the start of 2019, despite risk-on staging a big comeback, what can be observed is a real persistence in the factors’ relative performances, with an outperformance of the two factors that thrived last year low vol and quality and the subsidence of the other two factors value and momentum . This has been observed in both the United States and Europe. What can be expected in coming months? We review what we see as the most relevant criteria for a multi-factor allocation: macro economic cycle, risk regime, valuations and momentum . These criteria support the views expressed in our 2019 Outlook in favour of quality and low vol investment styles . From a cyclical standpoint, it is still too early for value to outperform despite the a ttractive valuations. As for momentum , it is sandwiched in between in our view, presenting upside potential but also a pronounced asymmetrical risk profile.