Equity Factor Insights - January 2023

Highlights

• Value prevails in 2022 tumult, Quality struggles - Most factors fared better than their respective benchmarks in the 2022 rout, with robust Q4 rebounds extending Value/Yield leadership. Though a modest outperformer in most markets, Quality generally trailed other factors.
• Technology, Energy and Financials stocks call the shots - Differing exposures to Energy, Financials and the ‘tech wreck’ were among the biggest return drivers, helping Value and Yield and weighing on Quality.
• UK Size a massive underperformer - Deviating from global trends, Size hugely underperformed in the UK, reflecting the market’s bigger tilt to outperforming large-cap Energy, Staples and Materials.
• EM factor returns top the charts globally - Though generally in step with global trends, EM factors held up far better than the benchmark in 2022 and most outperformed developed-market peers, especially in Size.
• Factor P/Es tick up with Q4 rally - Despite big Q4 re-ratings, forward P/Es remain below 10-year averages across markets. Quality/Value premiums are mostly in line with historical norms.

Published quarterly, this report provides actionable insights on global and regional factor performances, sector exposures, rotation drivers and macro sensitivities, using proprietary quarter-end data from the FTSE Global Factor Index Series. It's part of a series of Market Maps reports, available by email as soon as they are published.

Webinar  – Equity Factors: Value throws a lifeline in the 2022 tumult

Join the authors of Equity Factor Insights on their webinar to hear a deep-dive into key findings from this quarter and answers to key questions such as: 

• Which equity factors fared best in last year’s rout and which ones failed? 
• What industries had the greatest impact on performance in the Q4 rally and for the full year? 
• What factors diverged from global patterns and why? 
• Where did factor valuations stand at the beginning of 2023?