An in-depth look at factor performance
Over the last 12 months, Earnings Revision has been the sub-factor that has continued to carry the Momentum factor as Price Momentum continued to decay its returns over the same period.
Earnings Revision underperformed through the quarter, but still managed to outperform over the past 12 months with spreads of 7.5%. However, Price Momentum underperformed during the quarter and over the past 12 months, resulting in negative spreads of -11% for the year.
Value continued its winning streak, closing the fourth quarter well in the positive, and was still the best-performing factor on a twelve months basis in the first quarter of 2022.
For the past twelve months, the Price-to-Book (19.1%), Earnings Yield (3.03%), Price-to-Cashflow (27.3%) and Dividend Yield (15.1%) spreads all delivered strong results.
The Value composite delivered a strong performance of 16.1% for the past year.
The Quality factor has slowly recovered over the past two quarters but was still underperforming on a 12-month basis by the end of the first quarter.
Growth (8.34%) outperformed for the year, while Leverage (-9.5%) and Profitability (-2.1%) both underperformed.
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