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Many regional stock markets struggled in September, trimming
their advance over the quarter, with concerns that the rising
number of coronavirus cases may result in further restrictions to
contain its spread. However, investors sought high momentum stocks,
while avoiding undervalued names across most of our coverage
universes (Table 1). Business sentiment also hit its highest level
since May 2018, according to the J.P.Morgan Global Manufacturing
PMI survey, with the headline figure rising to a 25-month high.
US: Price Momentum measures returned to their leading role,
replacing Deep Value which traversed to the bottom of the factor
performance spectrum, as confirmed directionally by
Industry-adjusted 12-month Relative Price Strength and
Book-to-Market, respectively
Developed Europe: Investors' style preferences mirrored that of
US large caps, as captured by outperformance to measures such as
Rational Decay Alpha and underperformance to Book-to-Market
Developed Pacific: Demand Supply Ratio, a Short Sentiment
indicator measuring the amount of stock borrowed relative to its
lendable inventory, was a highly rewarded indicator in markets
outside Japan
Emerging markets: Investors showed a preference for high
momentum stocks (e.g., Rational Decay Alpha), while avoiding high
risk names (e.g., 60-Month Beta)
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