An in-depth look at factor performance
Momentum
Earnings Revision continued to outperform in the last 12 months with spreads at 8%, while Price Momentum lagged somewhat (4.6%). Most of the gains for Momentum came through in September, where Basic Materials contributed positively while Consumer Services detracted from performance. However these gains were not enough to carry the strategy for the entire quarter.
Value
Value retracted in the third quarter at the expense of Momentum, although it continued to be one of the best-performing factors on a twelve months basis.
For the last twelve months, the Price-to-Book (35.9%), Dividend Yield (10.8%) and Price-to-Cashflow (35%) factors performed strongly.
Earnings Yield (-0.6%) underperformed through the last 12 months and it also did not have a good quarter (-9.3%).
Quality
The Quality factor continued being on the backfoot and again it produced mixed results both on a quarterly basis and on a full year basis.
Growth (54.2%) outperformed for the year, and on a quarterly basis Growth (17.1%) was the only outperformer.
Leverage (-17.1%) and Profitability (-10.7%) underperformed during the quarter and also underperformed -33.4% and -26.7% respectively on a 12 months basis.
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