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Volatility returned to the several regional equity markets as
investors weighed the economic risks posed by the new omicron
strain of the COVID-19 virus. Furthermore, price and supply
shortage measures remain close to recent highs, according to the
J.P.Morgan Global Manufacturing PMI report, amid sharp increases in
vendor delivery times given the continued severe strain on global
supply chains. In turn, factor performance in November (Table 1)
reflects variants across regions as investors await potential
changes to the timing of the US Federal Reserve's tapering of bond
purchases and pace of interest rate hikes.
US: Deep Value measures, such as Forward 12-M EPS-to-Enterprise
Value, which were strongly favored among small caps in October,
gained traction among large caps as well last month
Developed Europe: High momentum stocks measured by Rational
Decay Alpha extended October's outperformance into November
Developed Pacific: Reinvestment Rate was a strong performer in
Japan, while Book-to-Market performance was particularly weak in
markets outside Japan
Emerging markets: Deep Value measures such as TTM
EBITDA-to-Enterprise Value continued to be rewarded last month
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