Equity returns over the past year still pretty stellar, even without the initial rebound from the bottom of the COVID-19 crisis last March. Bonds have had a more sorrowful time of it, though, as the confidence that drove the rebound in stocks also provided a boost to interest rates. Developed-market stocks—both domestic and abroad—traded in similar fashion to end flat over the quarter, with September demonstrating its historically crueler side. Emerging market-stocks sank over the past three months, heavily weighted by troubles within Chinese equities.

Though our favored factors generally have fared very well since the COVID bottom, relative performance over the past three months has not been as positive. Smaller-capitalization stocks in general saw strong declines, while returns for less-expensive stocks were mixed as mid- and small-cap stocks outperformed their peers. The Value and Size factors performed much better abroad over the past quarter, adding to the positive relative performance seen over the past year. Small-cap stocks fared particularly well, with the less-expensive cohort among them gapping well ahead of their peers and of large-growth names.