Investment Metrics, a Confluence company, has released its latest factor performance analysis. The report found that Volatility led equity returns this month, with global investors benefitting from exposure to high beta and short-term volatility. This, however, was not at the expense of Growth subfactors. In the both the US and Canada, companies reported higher returns in Growth than Value. Although in the Eurozone and UK, Growth equities offered negative or neutral returns.
Click here to download the full report attached. The results are based on the relative performance of that specific Factor's top 50% of stocks (by market cap) compared to the overall market (the sole exception is the Size Factor which uses the top 70% of stocks).
Overview of the findings:
- US Equities: Value, Volatility, and sales growth outperformed.
- Europe: Value and Volatility also outperformed to similar magnitude as in the US.
- UK: Value subfactors outperformed more than Europe and US, while Volatility mirrored them.
- Emerging Markets: Volatility and forecasted growth beat the market, Value largely underperformed.
- Canada: Value and Volatility beat the market by a large margin, nearly 200bps in one month.
