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What started out as a relatively uneventful month of positive
momentum in high risk shares, carried over from the end of last
year on optimistic vaccination and economic outlook, turned into a
wild ride for a handful of highly shorted US stocks. This was
reflected in historically poor factor performance of Short
Sentiment factors mostly concentrated in US markets (Table 1).
Investors now wait to see if the bull market will be derailed from
retail investors' uprise, vaccine snags and tighter restrictions
amid an uncertain global economic environment, with the global
manufacturing upturn slowing at the start of the year, though
remaining solid, with just a slight dip in the J.P.Morgan Global
Manufacturing PMI.
US: Demand Supply Ratio encapsulated the frenzied trading in
highly shorted names, which was especially pronounced among less
liquid small caps
Developed Europe: 3-M Revision in FY2 EPS Forecasts remained a
positive signal in January, representing a 31-percentage point
improvement in spread compared with November results
Developed Pacific: Book-to-Market was a strong performer in
Japan relative to Industry-adjusted 12-month Relative Price
Strength, while 24-Month Value at Risk outperformed in markets
outside Japan
Emerging markets: High quality firms were highly rewarded, such
as those gauged by Fixed Assets Turnover Ratio
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