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Several regional stock markets saw a reversal in factor
performance and Short Sentiment signals, such as Implied Loan Rate,
were voted for in many developed markets (Table 1), as equities
struggled particularly in the last week of October ahead of the US
election amid rising numbers of coronavirus cases and new
restrictions to curb its spread. Signs of a global economic
rebound, including that seen in the J.P.Morgan Global Manufacturing
PMI and the accompanying business sentiment both rising to a
29-month high, leave investors and businesses alike looking for
clues as to whether the fragile recovery can be sustained.
US: Investors flip flopped once again on their preference for
value stocks, with positive performance recorded by Book-to-Market
and Forward 12-M EPS-to-Enterprise Valsue
Developed Europe: Industry-adjusted 12-month Relative Price
Strength extended its positive trend for the year, with investors
favoring high momentum stocks in all but one month
Developed Pacific: Rational Decay Alpha and 24-Month Value at
Risk captured investors' preference for high momentum and high risk
names in Japan and the reverse in markets outside Japan
Emerging markets: 3-M Revision in FY2 EPS Forecasts continued a
generally positive trend for earnings momentum measures for the
year, while Natural Logarithm of Market Capitalization saw a trend
reversal, as small caps underperformed
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