The biggest near-term wild card is the infinitely confusing and hopelessly unpredictable Brexit.
We think the best guide for Brexit is still the 1992 U.K. exit from the ERM. However, most U.K. assets are more expensive than they were back in 1992, and thus more vulnerable to shocks.
Factor performance was muted prior to the vote; it turned volatile in the remaining days of June following. Momentum was the only factor to work before and after June 23rd — the day of the Brexit vote.