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Momentum in Asia fights off a second wave of value in Europe and the US
06 July 2020
Research Signals - June 2020
Several regional equity benchmarks posted their best quarter in
years on optimism that their economies are recovering from
coronavirus shutdowns as restrictions are eased, while weighing the
risk of a second wave in COVID-19 cases. The J.P.Morgan Global
Manufacturing PMI provided one such positive economic data point,
signaling that the global manufacturing sector downturn eased
sharply in June after starting on the recovery path in May.
However, while increased risk taking was evident from factor
performance across many regional universes, varying degrees of
investor positioning were found, with momentum factors
outperforming in developed Asia markets, whereas value prevailed in
Europe and the US (Table 1).
US: Increased risk taking was evidenced by underperformance to
measures such as 60-Month Beta and 24-Month Value at Risk
Developed Europe: Book-to-Market rebounded with an
11-percentage point increase in month-on-month spread
performance
Developed Pacific: Industry-adjusted 12-month Relative Price
Strength returned to its winning ways in Japan after a one-month
respite
Emerging markets: 24-Month Value at Risk captured a robust
aversion to low risk names, while undervalued names were favored
based on Book-to-Market performance
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