An in-depth look at factor performance
Price Momentum battled throughout 2020, clawing back some lost ground during the first 3 months of 2021, although it remains to be seen whether this will be a sustained recovery.
Earnings Revision, however, continued to be a counter-balance to price momentum – outperforming in the last 12 months with spreads at 29.7%, while underperforming this quarter. Gold and Financial stocks continued detracting from Momentum’s performance during the quarter.
Value extended its run to be the best-performing factor on a twelve months basis.
For the last year, Price-to-Book (116.8%) and Earnings Yield (263.1%) performed strongly, with financials underpinning most of the performance in the last quarter.
Dividend yield (-0.5%) continued to underperform through the last 12 months, seeing somewhat of a recovery during the first quarter (4.7%), with Price to Cashflow (50.2%) also contributing positively over the last 12 months.
Quality produced mixed results both on a quarterly basis and on a full year basis.
While both Growth (29.1%) and Leverage (81.6%) outperformed for the year, during the first quarter Growth (4.5%) was the only positive contributor, with Leverage (-1.0%) and Profitability (-7.9%) both underperforming.
Click here to download the PDF version