An in-depth look at factor performance
Price Momentum never recovered from its April underperformance, and closed the year down, with spreads over 12 months at -40%. Despite this, Earnings Revision continued to outperform in 2020 with spreads at 21%, albeit mostly attributable to the quarter ending September.
Gold stocks led the way into the negative territory during the quarter for the Momentum signal, and on a year-to-date basis, Platinum stocks in general continued to be the main positive contributor.
Value continued to be the best-performing factor on both a quarterly period and over the last twelve months of 2020.
For the last year, Price-to-Book (45.83%) and Earnings Yield (148.6%) attributes performed strongly, with Financials underpinning much of this spread performance.
Dividend Yield (-21.5%) continued to underperform through the year, though it did pick up strongly during the past quarter (11.6%), with Price to Cashflow (4.43%) also contributing positively, albeit less dramatically, over the year.
Quality signals continued to produce mixed results both on a quarterly basis and on a full year basis.
While both Growth (32.6%) and Leverage (32.1%) outperformed for the year, on a quarterly basis Growth (14.5%) was the only outperformer, while Leverage (-14.6%) and Profitability (-3.0%) underperformed during the fourth quarter.
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