No pivot in value outperformance

Research Signals - November 2022

Investors across major regional markets continued to bid up stocks last month in hopes of a pivot in central bank policy towards a less aggressive pace in rate hikes given weaker economic data points. Supporting this thesis, the November J.P.Morgan Global Manufacturing PMI™ fell to a 29-month low, with 23 of the 31 nations with available data in contraction territory, including China, the US, the euro area and Japan. The extension of the upward trend in stocks carried over to a continuation in outperformance from value factors (Table 1).

• US: Deep Value and Management Quality factors were highly favored, including TTM EBITDA-to-Enterprise Value and Net Operating Asset Turnover, respectively
• Developed Europe: Implied Loan Rate, a Short Sentiment measure of the cost of borrowing a stock, was the top performing signal across our factor library last month
• Developed Pacific: In markets outside Japan, significant double-digit spreads were associated with 5-day Industry Relative Return outperformance and Rational Decay Alpha underperformance
• Emerging markets: Deep Value measures remained highly rewarded, as represented by Forward 12-M EPS-to-Enterprise Value

Table 1

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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.