US Small Cap Style Guide: Small Caps and Low Vol Lead

研报英文原文证据摘录

US Small Cap Style Guide: Small Caps and Low Vol Lead

Global Research

1 July 2026ab

US Small Cap Style Guide Equities

AmericasSmall Caps and Low Vol Lead

Quantitative

Sophia Elliott

Market Performance Analyst

Small caps outperformed at +3.7% month over month compared to broader markets sophia.elliott@ubs.com

which slid into negative territory (S&P 500 -1%, Russell 1000 -0.5%) +1-212-882 5248

Paul Winter

Factor Overview Analyst

For June, small cap factor performance was mixed. Positive style groups include Low paul-j.winter@ubs.com

+61-2-9324 2080

Volatility, Value, and Growth. Size underperformed, while Momentum styles showed

mixed performance within the group (Figure 1StyleFactorPerformance,MostRecentMonth). Low Vol 12m (+9.9%) was the best Augusto Espin, PhD

performing factor while Momentum Composite (-3.8%) was the weakest performer. Analyst

Valuation metrics indicate that Low Volatility, Fundamental Growth, Book Value Yield, augusto.espin@ubs.com

+1-212-713 4802

Dividend Yield, and Free Cash Flow Yield are trading at relatively cheap levels versus their

own history. Most other factors are trading near historical averages and generally skew Oliver Antrobus, CFA

toward the cheaper end of their historical ranges. Momentum is the exception, Analyst

remaining within range but somewhat above its long-term average. (Figure 6USforecastPEindiferentfactors). oliver.antrobus@ubs.com

+61-3-9242 6467

Investing Environment Overview Will Stephens

Analyst

Macro factor importance eased slightly by around 3ppt this month to roughly 34%. Oil

will.stephens@ubs.com

remains the key macro driver at 18%, while Gold has reemerged as a meaningful +852-3712 3892

influence, sitting around 7% (Figure 2USmacrodriversthroughtime). Cross-sectional volatility for Small and Large