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Digging down under quant performance

17 September 2018

Research Signals - September 2018

As an export economy, Australia is vulnerable to global economic developments which have caused many global markets to decline in recent months. However, the Australian share market ended August trading near ten-year highs off early-April lows, despite trade tensions between major trading partners - the US and China - before correcting in the early days of September. Given the heightened trade rhetoric over the course of this year, we review the Australian economic landscape and recent quantitative model and factor performance within the Research Signals Global Factor Library.

  • Services and manufacturing firms maintain a positive view on the outlook for the year, despite recent moderation in the private sector economy and outflows in equity ETFs
  • All five of our thematic models recorded positive performance thus far this year for buy-rated stocks and negative returns for sell-rated stocks relative to the market, led by the Earnings Momentum (1.48% average monthly spread) and Price Momentum (1.20% average monthly spread) models
  • From a long-only perspective, earnings revisions factors and measures of fundamental growth outperformed on average year-to-date, while low profits as a ratio of sales was successful in identifying underperforming stocks

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