An in-depth look at factor performance
The Momentum signal had a dramatic turnaround and wiped out its previous advances and is now down 37% over a 12-month period. An underweight in Sasol, which surged over 200% in the quarter, is only one of the examples of why Price Momentum doesn’t perform well at sharp inflection points. Positive contributors were gold mining and as well as other miners.
Even though Earnings Revisions was negative over the quarter, it softened the blow of Price Momentum and is now down 15.6% over 12 months.
For the first time in the year, Value was the best performing factor, as beaten down stocks surged in the second quarter and investors snapped up some bargains.
Price-to-Book performed particularly well with these bargain stocks outpacing the market which bounced back in the second quarter. The
Dividend Yield strategy marginally underperformed as historical yields don’t count for much in these uncertain times.
Quality reversed its fortunes of Q1 as those stocks with higher profitability were not preferred in a market which showed some hope of a prolonged recovery.
Return on Equity was the worst performing quality signal, giving away more than 50% over the quarter.
Debt to Equity, however, surged as highly leveraged stocks that overreacted to the market sell-off in Q1, sharply reversed in Q2.
Click here to download the PDF version