May brings global divergence in factor performance

Following a ‘harmonious’ Q1, when global markets saw almost identical factor winners and losers, it was a definite case of ‘discord’ in May, with the month seeing global divergence in factor performance.

That’s according to Style Analytics’ May 2021 Factor Performance Analysis, which looks at how factors performed across four ‘regions’ – the US, Europe, Emerging Markets and Australia – last month.

Global markets were up generally – the MSCI Europe growing 3.7 per cent, the MSCI Emerging Markets index up 2.2 per cent and Sydney’s All Ordinaries seeing a 0.83 per cent increase. However, in the US, the S&P 500 gained only 0.55 per cent while the Russell 2000 dropped 0.36 per cent.

In terms of factors, Style Analytics’ analysis reveals that the US resumed its rotation from Growth to Value and Momentum started making a comeback.

In Europe, meanwhile, every sub-factor across every factor outperformed the market, apart from Low Gearing (low leverage), while Emerging Markets saw mixed performance across Value, Growth and Quality, while only High Volatility outperformed.

In Australia, Growth and Quality continued to dominate, while High Volatility and Momentum stocks suffered.

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