Factor performance review at a glance
A global resurgence of Covid-19 cases and the threat of a more protracted lockdown continued to sew uncertainty in markets, causing Value to underperform as investors favoured safer alternatives. Locally, Price Momentum (18.4%) showed a high return predictive signal through the quarter, while Earnings Revisions (39.0%) continued to bolster Momentum. Price to Book (-6.4%) and Earnings Yield (-1.0%) trailed during the quarter, in line with the global trend of a flight to safety. Profitability (6.7%) and Leverage (7.4%) showed robust return predictive signals, while Growth (-5.7%) failed to deliver. As the markets calmed in Q3 (compared to the first and second quarter), Low Beta (6.8%) and Low Vol (4.5%) showed improved performance.