An in-depth look at factor performance
Earnings Revision was the sub-factor that carried Momentum through the year, and it continued to outperform throughout the entire quarter, finishing off the last 12 months with spreads of 16.1%.
Price Momentum dragged performance down during the quarter, resulting in it producing spreads of 3.6% for the last 12 months. This underscores our conviction in supplementing price momentum with a measure of earnings momentum.
Value closed the fourth quarter on a high, and it continued to be the best performing factor on a twelve months basis.
For the past twelve months, the Price-to-Book (24.1%), Dividend Yield (10.2%) and Price-to-Cashflow (27.1%) attributes performed strongly.
Earnings yield (-0.8%) continued underperforming through the last 12 months, despite Value’s good overall fourth quarter (-9.3%).
The Quality factor was the hardest hit of all the factors. Even with a strong fourth quarter performance, it continued being on the backfoot.
Growth (21.5%) was the odd one out compared to the outperformance trend, as it outperformed for the year. However, on a quarterly basis, Growth (-9.8%) was the only underperformer, while Leverage (8.2%) and Profitability (8.7%) outperformed during the quarter, despite underperforming strongly by -15.5% and -17.8% respectively on a 12 months basis.
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