An in-depth look at factor performance
Although Price Momentum picked up in July and August, it continued its 12-month correction through September, correcting -32.4% over this period.
Despite this, Earnings Revision continued to outperform in the last year, with spreads at 20% over that period and most of the performance coming through from the quarter ending September.
Platinum stocks led the way during the quarter for the Momentum signal, and on a year-to-date basis the mining stocks in general continued to be the main positive contributor.
Value continued to be the best-performing factor, both on a year-to-date basis and over the last twelve months.
For the last year, Price-to-Book (25.8%) and Earnings Yield (114.9%) performed particularly well, with previously beaten down stocks outpacing the market, which was fairly flat during the third quarter.
Dividend yield and Price to Cashflow continued to underperform during the quarter, but had a counter-balance in the form of the Price to Book and Earnings Yield signals.
Quality signals produced mixed results on a full-year basis.
While both Profitability and Leverage outperformed during the third quarter, on a 12-month basis Profitability underperformed by -40.8% while Leverage outperformed by 47.8%.
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