US High-Quality Strategy: A Standout Q3

The BCA Score L/S pure factor was marginally up on the month, returning 0.80%. More positively, the factor spectrum was led by Technical (6.1%) and Quality (2.5%). The USHQ portfolio marginally underperformed its benchmark in September. Specifically, the SPY benchmark returned 3.3% and the USHQ portfolio returned 3.1%. Positively, the USHQ portfolio showed strong outperformance through Q3, posting a return of 8.4% vs. the SPY at 3.9% The USHQ portfolio is still well positioned to recapture alpha over its benchmark through the remainder of 2024.