My question is about factor investing. In most equity markets (Europe, US) the factors momentum and low volatility have outperformed the cap weighted indices in the last couple of years while the value factor - which in my perception was still "fashionable" as investment style ("we are value-investors...") - underperformed significantly.
The last quarter of 2016 brought a change. After the US presidential election the low vol factor underperformed significantly while value continued its comeback which had already started sooner in 2016.
My question: Is this performance spread really due to the "factors" or rather due to the changing outlooks for industry sectors? If the latter were true then a portfolio with factors tilts but approximately sector neutrality could be a remedy to this development.
The performance claims above for 2016 can be checked on the MSCI webpage where factsheets for their indices are available showing the performance of the factor indices as well as the cap weighted ones per year. I did not post the performance charts from there as this could be forbidden by MSCI.