An in-depth look at factor performance
On the local front, Momentum was the best performing factor for the quarter. Earnings Revision strong positive returns through the quarter, continuing to outperform over the past 12 months, with long-short spreads at 116.2%. Price Momentum also showed strong gains (19.7%).
As gold stocks lost momentum in the first quarter, the reduction in their exposure contributed positively to the Momentum strategy during the second quarter, while consumer services weighed negatively on the signal. Recovering Value stocks also rotated into the Momentum bucket, driving the Momentum factor’s performance in the second quarter.
The Value signal underperformed in the second quarter, although it continued to be one of the best-performing factors on a twelve-month basis.
Over the past year, the Price-to-Book (19.2%), Earnings Yield (8.4%) and Price-to-Cashflow (31.8%) factors performed strongly.
Dividend yield (-4.9%) continued to underperform through the last 12 months following from its poor quarter in Q2 2020 (-6.6%).
The Quality factor was on the back foot again in the second quarter, continuing to produce mixed results both on a quarterly basis and on a full year basis.
The Growth (24.3%) signal delivered value for the year, and during the second quarter, Growth (10.2%) was again the only outperformer.
Leverage (4.8%) and Profitability (-8.1%) underperformed during the quarter and also on a 12 months basis (-13.6% & -12.3% respectively).
Click here to download the PDF version