Factor performance review at a glance
Debt to Equity (100%) and Price-to-Book (86.0%) deliver stellar returns
Volatility continued into the second quarter of 2020 with the market bouncing back from its lows in March. This lead to factor spreads experiencing even more distorted dispersion numbers than Q1. Price Momentum (-58.8%) and Return on Equity (-51.4%) which were very good performing factors in the sell-off, got hit hard in the second quarter. However, Earnings Revisions (-4.6%) managed to subdue the Momentum factor in general. Debt to Equity (100%) and Price-to-Book (86.0%) delivered stellar returns as these value and geared stocks surged from their bottom. Dividend Yield (-2.3%) was marginally negative over the quarter. Over a one-year period it was only Price to Book and Debt to Equity that were the only two factors to deliver a positive return spread over one year.