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EQUITIES COMMENTARY
Jan 04, 2018
Value factors maintain momentum
Research Signals – December 2017
Global stocks had plenty to celebrate at the New Year with their best annual performance since 2009. However, a synchronized global economic recovery, confirmed by the J.P. Morgan Global Manufacturing PMI™ ending 2017 near a seven-year high, did not translate into a consistent pattern of outperformance to price momentum trades across regional markets. Indeed value factors posted another strong month across many developed markets (Table 1).
- US: TTM EBITDA-to-Enterprise Value more than doubled its prior month performance, demonstrating investors continued push toward valuation
- Developed Europe: Momentum in stock prices did not translate into like factor performance, with momentum metrics such as Rational Decay Alpha struggling further in December
- Developed Pacific: Japanese markets remain upbeat heading into the new year, with positive momentum captured by Industry-adjusted 12-month Relative Price Strength
- Emerging markets: Historical growth factors performed strongly for the month, with Reinvestment Rate leading the group
Table 1
Posted 4 January 2018
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This article was published by S&P Global Market Intelligence and not by S&P Global Ratings, which is a separately managed division of S&P Global.
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